Gradient-Free Methods for Deterministic and Stochastic Nonsmooth Nonconvex Optimization

Nonsmooth nonconvex optimization problems broadly emerge in machine learning and business decision making, whereas two core challenges impede the development of efficient solution methods with finite-time convergence guarantee: the lack of computationally tractable optimality criterion and the lack of computationally powerful oracles. The contributions of this paper are two-fold. Second, we propose the gradient-free method (GFM) and stochastic GFM for solving a class of nonsmooth nonconvex optimization problems and prove that both of them can return a (\delta,\epsilon) -Goldstein stationary point of a Lipschitz function f at an expected convergence rate at O(d {3/2}\delta {-1}\epsilon {-4}) where d is the problem dimension. Two-phase versions of GFM and SGFM are also proposed and proven to achieve improved large-deviation results. Finally, we demonstrate the effectiveness of 2-SGFM on training ReLU neural networks with the \textsc{Minst} dataset.