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A Theoretical and Empirical Comparison of Gradient Approximations in Derivative-Free Optimization |
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| Authors: | Berahas Albert S. Cao Liyuan Choromanski Krzysztof Scheinberg Katya |
| Affiliation: | 1.Department of Industrial and Operations Engineering, University of Michigan, Ann Arbor, MI, USA ;2.Department of Industrial and Systems Engineering, Lehigh University, Bethlehem, PA, USA ;3.Google Brain, New York, NY, USA ;4.Department of Operations Research and Information Engineering, Cornell University, Ithaca, NY, USA ; |
| Abstract: | Foundations of Computational Mathematics - In this paper, we analyze several methods for approximating gradients of noisy functions using only function values. These methods include finite... |
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