Zero Order Stochastic Weakly Convex Composite Optimization

19 Feb 2020 Kungurtsev V. Rinaldi F.

In this paper we consider stochastic weakly convex composite problems, however without the existence of a stochastic subgradient oracle. We present a derivative free algorithm that uses a two point approximation for computing a gradient estimate of the smoothed function... (read more)

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  • OPTIMIZATION AND CONTROL