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Mirror Natural Evolution Strategies
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abstract
The zeroth-order optimization has been widely used in machine learning applications. However, the theoretical study of the zeroth-order optimization focus on the algorithms which approximate (first-order) gradients using (zeroth-order) function value difference at a random direction. The theory of algorithms which approximate the gradient and Hessian information by zeroth-order queries is much less studied. In this paper, we focus on the theory of zeroth-order optimization which utilizes both the first-order and second-order information approximated by the zeroth-order queries. We first propose a novel reparameterized objective function with parameters $(\mu, \Sigma)$. This reparameterized objective function achieves its optimum at the minimizer and the Hessian inverse of the original objective function respectively, but with small perturbations. Accordingly, we propose a new algorithm to minimize our proposed reparameterized objective, which we call \texttt{MiNES} (mirror descent natural evolution strategy). We show that the estimated covariance matrix of \texttt{MiNES} converges to the inverse of Hessian matrix of the objective function with a convergence rate $\widetilde{\mathcal{O}}(1/k)$, where $k$ is the iteration number and $\widetilde{\mathcal{O}}(\cdot)$ hides the constant and $\log$ terms. We also provide the explicit convergence rate of \texttt{MiNES} and how the covariance matrix promotes the convergence rate.
Forward citations
Cited by 2 Pith papers
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Stochastic Diagonal Estimation Based on Matrix Quadratic Form Oracles
A randomized estimator using standard Gaussian vectors recovers any diagonal entry of a matrix from scalar quadratic-form queries, with explicit sample complexity bounds for element-wise and norm-wise accuracy.
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Subspace-based Approximate Hessian Method for Zeroth-Order Optimization
ZO-SAH accelerates zeroth-order optimization by estimating and using subspace Hessians via quadratic fitting with evaluation reuse, achieving faster convergence on logistic regression and neural network benchmarks.
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