论文标题

Minibatch随机三点方法,用于不受约束的平滑最小化

Minibatch Stochastic Three Points Method for Unconstrained Smooth Minimization

论文作者

Boucherouite, Soumia, Malinovsky, Grigory, Richtárik, Peter, Bergou, EL Houcine

论文摘要

在本文中,我们提出了一种称为MINIBATCH随机三点(MISTP)方法的新的零订单优化方法,以在只有目标函数评估的近似值的情况下解决无约束的最小化问题。它基于最近提出的随机三点(STP)方法(Bergou等,2020)。在每次迭代中,MISTP以与STP相似的方式生成一个随机搜索方向,但是仅根据目标函数的近似而不是确切的评估选择下一个迭代。我们还分析了方法在非凸和凸病例中的复杂性,并评估其在多个机器学习任务上的性能。

In this paper, we propose a new zero order optimization method called minibatch stochastic three points (MiSTP) method to solve an unconstrained minimization problem in a setting where only an approximation of the objective function evaluation is possible. It is based on the recently proposed stochastic three points (STP) method (Bergou et al., 2020). At each iteration, MiSTP generates a random search direction in a similar manner to STP, but chooses the next iterate based solely on the approximation of the objective function rather than its exact evaluations. We also analyze our method's complexity in the nonconvex and convex cases and evaluate its performance on multiple machine learning tasks.

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