2022
A gradient estimator via L1-randomization for online zero-order optimization with two point feedback
NeurIPS 2022accept
This work studies online zero-order optimization of convex and Lipschitz functions. We present a novel gradient estimator based on two function evaluations and randomization on the $\ell_1$-sphere. Considering different geometries of feasible sets and Lipschitz assumptions we analyse online dual av…