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A Note on Zeroth-Order Optimization on the Simplex

Zrnic, Tijana and Mazumdar, Eric (2022) A Note on Zeroth-Order Optimization on the Simplex. . (Unpublished)

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We construct a zeroth-order gradient estimator for a smooth function defined on the probability simplex. The proposed estimator queries the simplex only. We prove that projected gradient descent and the exponential weights algorithm, when run with this estimator instead of exact gradients, converge at a O(T^(-1/4)}) rate.

Item Type:Report or Paper (Discussion Paper)
Related URLs:
URLURL TypeDescription Paper
Mazumdar, Eric0000-0002-1815-269X
Record Number:CaltechAUTHORS:20221220-221907545
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Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:118519
Deposited By: George Porter
Deposited On:21 Dec 2022 19:35
Last Modified:21 Dec 2022 19:35

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