Towards Gradient Free and Projection Free Stochastic Optimization

    arXiv: Optimization and Control, Volume abs/1810.03233, 2018.

    Cited by: 1|Bibtex|Views2|Links
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    Abstract:

    This paper focuses on the problem of emph{constrained} emph{stochastic} optimization. A zeroth order Frank-Wolfe algorithm is proposed, which in addition to the projection-free nature of the vanilla Frank-Wolfe algorithm makes it gradient free. Under convexity and smoothness assumption, we show that the proposed algorithm converges to the...More

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