2023
Accelerated Zeroth-order Method for Non-Smooth Stochastic Convex Optimization Problem with Infinite Variance
Nikita Kornilov, Ohad Shamir, Aleksandr Lobanov, Darina Dvinskikh, Alexander Gasnikov, Innokentiy Andreevich Shibaev +2
NeurIPS 2023poster
In this paper, we consider non-smooth stochastic convex optimization with two function evaluations per round under infinite noise variance. In the classical setting when noise has finite variance, an optimal algorithm, built upon the batched accelerated gradient method, was proposed in (Gasnikov et.…