Zeroth-order Gradient and Quasi-Newton Methods for Nonsmooth Nonconvex Stochastic Optimization

Luke Marrinan, Uday V. Shanbhag, Farzad Yousefian

We consider the minimization of a Lipschitz continuous and expectation-valued function, denoted by $f$ and defined as $f(\mathbf{x}) \triangleq \mathbb{E}[\tilde{f}(\mathbf{x}, \ma…