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Zeroth-order optimization with orthogonal random directions |
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| Authors: | Kozak David Molinari Cesare Rosasco Lorenzo Tenorio Luis Villa Silvia |
| Institution: | 1.Solea Energy, Overland Park, United States ;2.Istituto Italiano di Tecnologia, Genoa, Italy ;3.MaLGa, DIBRIS, Università di Genova CBMM, MIT Istituto Italiano di Tecnologia, Genoa, Italy ;4.Applied Mathematics and Statistics Department, Colorado School of Mines, Golden, CO, United States ;5.MaLGa, DIMA, Università degli Studi di Genova, Genoa, Italy ; |
| Abstract: | Mathematical Programming - We propose and analyze a randomized zeroth-order optimization method based on approximating the exact gradient by finite differences computed in a set of orthogonal... |
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