An Accelerated DFO Algorithm for Finite-sum Convex Functions

Jul 12, 2020

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Derivative-free optimization (DFO) has recently gained a lot of momentum in machine learning, spawning interest in the community to design faster methods for problems where gradients are not accessible. While some attention has been given to the concept of acceleration in the DFO literature, there exists no algorithm with a provably accelerated rate of convergence for objective functions with a finite-sum structure. Stochastic algorithms that use acceleration in such a setting are prone to instabilities, making it difficult to reach convergence. In this work, we exploit the finite-sum structure of the objective to design a variance-reduced DFO algorithm that probably yields an accelerated rate of convergence. We prove rates of convergence for both smooth convex and strongly-convex finite-sum objective functions. Finally, we validate our theoretical results empirically on several datasets.

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About ICML 2020

The International Conference on Machine Learning (ICML) is the premier gathering of professionals dedicated to the advancement of the branch of artificial intelligence known as machine learning. ICML is globally renowned for presenting and publishing cutting-edge research on all aspects of machine learning used in closely related areas like artificial intelligence, statistics and data science, as well as important application areas such as machine vision, computational biology, speech recognition, and robotics. ICML is one of the fastest growing artificial intelligence conferences in the world. Participants at ICML span a wide range of backgrounds, from academic and industrial researchers, to entrepreneurs and engineers, to graduate students and postdocs.

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