Obtaining Lower Query Complexities Through Lightweight Zeroth-Order Proximal Gradient Algorithms.

Zeroth-order (ZO) optimization is one key technique for machine learning problems where gradient calculation is expensive or impossible. Several variance, reduced ZO proximal algorithms have been proposed to speed up ZO optimization for nonsmooth problems, and all of them opted for the coordinated ZO estimator against the random ZO estimator when approximating the true gradient, since the former is more accurate. While the random ZO estimator introduces a larger error and makes convergence analysis more challenging compared to coordinated ZO estimator, it requires only O(1) computation, which is significantly less than O(d) computation of the coordinated ZO estimator, with d being dimension of the problem space. To take advantage of the computationally efficient nature of the random ZO estimator, we first propose a ZO objective decrease (ZOOD) property that can incorporate two different types of errors in the upper bound of convergence rate. Next, we propose two generic reduction frameworks for ZO optimization, which can automatically derive the convergence results for convex and nonconvex problems, respectively, as long as the convergence rate for the inner solver satisfies the ZOOD property. With the application of two reduction frameworks on our proposed ZOR-ProxSVRG and ZOR-ProxSAGA, two variance-reduced ZO proximal algorithms with fully random ZO estimators, we improve the state-of-the-art function query complexities from Omindn1/2ε2,dε3 to O˜n+dε2 under d>n12 for nonconvex problems, and from Odε2 to O˜nlog1ε+dε for convex problems. Finally, we conduct experiments to verify the superiority of our proposed methods.