POEM is a parameter-free stochastic zeroth-order method that adapts both step size and smoothing automatically and reaches near-optimal oracle complexity.
Making sgd parameter-free
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A Parameter-Free and Near-Optimal Zeroth-Order Algorithm for Stochastic Convex Optimization
POEM is a parameter-free stochastic zeroth-order method that adapts both step size and smoothing automatically and reaches near-optimal oracle complexity.