# Adaptive Stochastic Optimisation of Nonconvex Composite Objectives

arXiv: https://arxiv.org/abs/2211.11710 · HTML: https://mlsanity.com/paper/2211.11710/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 33 of its 51 references that are in the map.
- First posted on arXiv 21 Nov 2022.

## Builds on (most cited first, 30 of 33)

- [Deep Residual Learning for Image Recognition](https://mlsanity.com/paper/1512.03385/) (2015)
- [Stochastic First- and Zeroth-order Methods for Nonconvex Stochastic Programming](https://mlsanity.com/paper/1309.5549/) (2013)
- [Momentum-Based Variance Reduction in Non-Convex SGD](https://mlsanity.com/paper/1905.10018/) (2019)
- [SPIDER: Near-Optimal Non-Convex Optimization via Stochastic Path Integrated Differential Estimator](https://mlsanity.com/paper/1807.01695/) (2018)
- [Explanations based on the Missing: Towards Contrastive Explanations with Pertinent Negatives](https://mlsanity.com/paper/1802.07623/) (2018)
- [Simple Black-box Adversarial Attacks](https://mlsanity.com/paper/1905.07121/) (2019)
- [SARAH: A Novel Method for Machine Learning Problems Using Stochastic Recursive Gradient](https://mlsanity.com/paper/1703.00102/) (2017)
- [Optimal rates for zero-order convex optimization: the power of two function evaluations](https://mlsanity.com/paper/1312.2139/) (2013)
- [AdaGrad stepsizes: Sharp convergence over nonconvex landscapes](https://mlsanity.com/paper/1806.01811/) (2018)
- [A Primer on Zeroth-Order Optimization in Signal Processing and Machine Learning](https://mlsanity.com/paper/2006.06224/) (2020)
- [On the Convergence of Stochastic Gradient Descent with Adaptive Stepsizes](https://mlsanity.com/paper/1805.08114/) (2018)
- [EAD: Elastic-Net Attacks to Deep Neural Networks via Adversarial Examples](https://mlsanity.com/paper/1709.04114/) (2017)
- [Stochastic Variance Reduction for Nonconvex Optimization](https://mlsanity.com/paper/1603.06160/) (2016)
- [Mini-batch Stochastic Approximation Methods for Nonconvex Stochastic Composite Optimization](https://mlsanity.com/paper/1308.6594/) (2013)
- [An Optimal Algorithm for Bandit and Zero-Order Convex Optimization with Two-Point Feedback](https://mlsanity.com/paper/1507.08752/) (2015)
- [Zeroth-Order Stochastic Variance Reduction for Nonconvex Optimization](https://mlsanity.com/paper/1805.10367/) (2018)
- [Accelerated Gradient Methods for Nonconvex Nonlinear and Stochastic Programming](https://mlsanity.com/paper/1310.3787/) (2013)
- [Stochastic Zeroth-order Optimization in High Dimensions](https://mlsanity.com/paper/1710.10551/) (2017)
- [Non-convex Finite-Sum Optimization Via SCSG Methods](https://mlsanity.com/paper/1706.09156/) (2017)
- [Improved Zeroth-Order Variance Reduced Algorithms and Analysis for Nonconvex Optimization](https://mlsanity.com/paper/1910.12166/) (2019)
- [A Comprehensive Linear Speedup Analysis for Asynchronous Stochastic Parallel Optimization from Zeroth-Order to First-Order](https://mlsanity.com/paper/1606.00498/) (2016)
- [Accelerated Zeroth-Order and First-Order Momentum Methods from Mini to Minimax Optimization](https://mlsanity.com/paper/2008.08170/) (2020)
- [Improved SVRG for Non-Strongly-Convex or Sum-of-Non-Convex Objectives](https://mlsanity.com/paper/1506.01972/) (2015)
- [ProxSARAH: An Efficient Algorithmic Framework for Stochastic Composite Nonconvex Optimization](https://mlsanity.com/paper/1902.05679/) (2019)
- [Online Learning Without Prior Information](https://mlsanity.com/paper/1703.02629/) (2017)
- [A Frank-Wolfe Framework for Efficient and Effective Adversarial Attacks](https://mlsanity.com/paper/1811.10828/) (2018)
- [Model Agnostic Multilevel Explanations](https://mlsanity.com/paper/2003.06005/) (2020)
- [Zeroth-Order Online Alternating Direction Method of Multipliers: Convergence Analysis and Applications](https://mlsanity.com/paper/1710.07804/) (2017)
- [A Generalized Online Mirror Descent with Applications to Classification and Regression](https://mlsanity.com/paper/1304.2994/) (2013)
- [Accelerated Stochastic Gradient-free and Projection-free Methods](https://mlsanity.com/paper/2007.12625/) (2020)

## Abstract (arXiv)

In this paper, we propose and analyse a family of generalised stochastic composite mirror descent algorithms. With adaptive step sizes, the proposed algorithms converge without requiring prior knowledge of the problem. Combined with an entropy-like update-generating function, these algorithms perform gradient descent in the space equipped with the maximum norm, which allows us to exploit the low-dimensional structure of the decision sets for high-dimensional problems. Together with a sampling method based on the Rademacher distribution and variance reduction techniques, the proposed algorithms guarantee a logarithmic complexity dependence on dimensionality for zeroth-order optimisation problems.