Introduces PZOS partial zeroth-order algorithm for MPECs that exploits leader's white-box cost information to achieve lower variance than full black-box zeroth-order methods, with convergence to partial Goldstein stationary points and empirical gains on routing and security games.
Complexity of finding stationary points of nonconvex nonsmooth functions
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Black-Box Followers, White-Box Leaders: Partial Zeroth-Order Methods for MPECs
Introduces PZOS partial zeroth-order algorithm for MPECs that exploits leader's white-box cost information to achieve lower variance than full black-box zeroth-order methods, with convergence to partial Goldstein stationary points and empirical gains on routing and security games.