Gradient-Free Approaches is a Key to an Efficient Interaction with Markovian Stochasticity

Boris Prokhorov, Semyon Chebykin, Alexander Gasnikov, Aleksandr Beznosikov

Keywords: Zero-order optimization, Stochastic optimization, Markovian stochasticity

Abstract: This paper deals with stochastic optimization problems involving Markovian noise with a zero-order oracle. We present and analyze a novel derivative-free method for solving such problems in strongly convex smooth and non-smooth settings with both one-point and two-point feedback oracles. Using a randomized batching scheme, we show that when mixing time $\tau$ of the underlying noise sequence is less than the dimension of the problem $d$, the convergence estimates of our method do not depend on $\tau$. This observation provides an efficient way to interact with Markovian stochasticity: instead of invoking the expensive first-order oracle, one should use the zero-order oracle. Finally, we complement our upper bounds with the corresponding lower bounds. This confirms the optimality of our results.

Primary Area: Optimization (e.g., convex and non-convex, stochastic, robust)

Submission Number: 3096