论文标题
对对抗噪声下的非平滑马鞍点问题的无梯度优化
Gradient-Free Optimization for Non-Smooth Saddle Point Problems under Adversarial Noise
论文作者
论文摘要
我们考虑非平滑鞍点优化问题。为了解决这些问题,我们提出了一种在有限或Lipschitz连续噪声下的零级方法,可能是对抗性的。与最新的算法相反,我们的算法在这两个标准方面都是最佳的:oracle调用的复杂性和可允许噪声的最大值。提出的方法是在随机镜下降的零订单版本上构建的,易于实现。收敛分析是根据平均值和概率进行的。我们还特别注意双重差距$ r $ - 生长条件$(r \ geq 1)$,为此我们使用重新启动技术对算法进行修改。在Lipschitz噪声的情况下,我们还评论无限的噪声差异和上限。本文获得的结果不仅对于鞍点问题,而且对于凸优化而言是重要的。
We consider non-smooth saddle point optimization problems. To solve these problems, we propose a zeroth-order method under bounded or Lipschitz continuous noise, possible adversarial. In contrast to the state-of-the-art algorithms, our algorithm is optimal in terms of both criteria: oracle calls complexity and the maximum value of admissible noise. The proposed method is simple and easy to implement as it is built on zeroth-order version of the stochastic mirror descent. The convergence analysis is given in terms of the average and probability. We also pay special attention to the duality gap $r$-growth condition $(r\geq 1)$, for which we provide a modification of our algorithm using the restart technique. We also comment on infinite noise variance and upper bounds in the case of Lipschitz noise. The results obtained in this paper are significant not only for saddle point problems but also for convex optimization.