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JOURNALS // Avtomatika i Telemekhanika // Archive

Avtomat. i Telemekh., 2019 Issue 8, Pages 149–168 (Mi at15320)

This article is cited in 7 papers

Optimization, System Analysis, and Operations Research

Accelerated gradient-free optimization methods with a non-Euclidean proximal operator

E. Vorontsovaab, A. V. Gasnikovcde, E. A. Gorbunovc, P. E. Dvurechenskiif

a Far Eastern Federal University, Vladivostok, Russia
b Université Grenoble Alpes, Grenoble, France
c Moscow Institute of Physics and Technology, Moscow, Russia
d National Research University Higher School of Economics, Moscow, Russia
e Caucasus Mathematical Center, Adyghe State University, Maikop, Republic of Adygea, Russia
f Weierstrass Institute for Applied Analysis and Stochastics, Berlin, Germany

Abstract: We propose an accelerated gradient-free method with a non-Euclidean proximal operator associated with the $p$-norm ($1\leqslant p\leqslant 2$). We obtain estimates for the rate of convergence of the method under low noise arising in the calculation of the function value. We present the results of computational experiments.

Keywords: accelerated optimization methods, convex optimization, non-gradient methods, inaccurate oracle, non-Euclidean proximal operator, prox-structure.


Received: 21.04.2018
Revised: 05.11.2018
Accepted: 08.11.2018

DOI: 10.1134/S0005231019080117


 English version:
Automation and Remote Control, 2019, 80:8, 1487–1501

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