Towards Gradient Free and Projection Free Stochastic Optimization

This paper focuses on the problem of constrained stochastic optimization. A zeroth order Frank-Wolfe algorithm is proposed, which in addition to the projection-free nature of the vanilla Frank-Wolfe algorithm makes it gradient free. Under convexity and smoothness assumption, we show that the proposed algorithm converges to the optimal objective function at a rate Oleft(1/T1/3right), where T denotes the iteration count. In particular, the primal sub-optimality gap is shown to have a dimension dependence of Oleft(d1/3right), which is the best known dimension dependence among all zeroth order optimization algorithms with one directional derivative per iteration. For non-convex functions, we obtain the Frank-Wolfe gap to be Oleft(d1/3T-1/4right). Experiments on black-box optimization setups demonstrate the efficacy of the proposed algorithm.