Complexity Guarantees for Zeroth-order Methods via Exponentially-shifted Gaussian Smoothing: Mitigating Dimension-dependence and Incorporating Decision-dependence

Mingrui Wang, Prakash Chakraborty, Uday V. Shanbhag

In this paper, we consider two distinct challenges in the resolution of nonsmooth stochastic optimization. Of these, the first pertains to the pronounced dependence of dimension in…