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Mathematical Statistics and Learning
Article . 2025 . Peer-reviewed
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https://dx.doi.org/10.48550/ar...
Article . 2024
License: arXiv Non-Exclusive Distribution
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A simple and improved algorithm for noisy, convex, zeroth-order optimisation

Authors: Alexandra Carpentier;

A simple and improved algorithm for noisy, convex, zeroth-order optimisation

Abstract

In this paper, we study the problem of noisy, convex, zeroth-order optimisation of a function f over a bounded convex set \overline{\mathcal{X}}\subset \mathbb{R}^{d} . Given a budget n of noisy queries to the function f that can be allocated sequentially and adaptively, our aim is to construct an algorithm that returns a point \hat x\in \overline{\mathcal{X}} such that f(\hat x) is as small as possible. We provide a conceptually simple method inspired by the textbook centre of gravity method, but adapted to the noisy and zeroth-order setting. We prove that this method is such that the f(\hat x) - \min_{x\in \overline{\mathcal{X}}}f(x) is of smaller order than d^{2}/\sqrt{n} up to poly-logarithmic terms. We slightly improve upon literature preceding this work, where the best-known rate was in Lattimore (2019) and was of order d^{2.5}/\sqrt{n} , albeit for a more challenging problem – yet in the literature contemporaneous to our work, the remarkable work of Fokkema et al. (2024) attains the faster rate of d^{1.5}/\sqrt{n} under mild conditions on \overline{\mathcal{X}} . Our main contribution is, however, conceptual, as we believe that our algorithm and its analysis bring novel ideas and are significantly simpler than the existing approaches.

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Keywords

FOS: Computer and information sciences, Computer Science - Machine Learning, Statistics - Machine Learning, Optimization and Control (math.OC), FOS: Mathematics, Machine Learning (stat.ML), Mathematics - Optimization and Control, Machine Learning (cs.LG)

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
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