Numerical optimization in Hilbert space using inexact function and gradient evaluations

Trust region algorithms provide a robust iterative technique for solving non-convex unstrained optimization problems, but in many instances it is prohibitively expensive to compute high accuracy function and gradient values for the method. Of particular interest are inverse and parameter estimation problems, since function and gradient evaluations involve numerically solving large systems of differential equations. A global convergence theory is presented for trust region algorithms in which neither function nor gradient values are known exactly. The theory is formulated in a Hilbert space setting so that it can be applied to variational problems as well as the finite dimensional problems normally seen in trust region literature. The conditions concerning allowable error are remarkably relaxed: relative errors in the gradient error condition is automatically satisfied if the error is orthogonal to the gradient approximation. A technique for estimating gradient error and improving the approximation is also presented

Federated Zeroth-Order Optimization using Trajectory-Informed Surrogate Gradients

Federated optimization, an emerging paradigm which finds wide real-world applications such as federated learning, enables multiple clients (e.g., edge devices) to collaboratively optimize a global function. The clients do not share their local datasets and typically only share their local gradients. However, the gradient information is not available in many applications of federated optimization, which hence gives rise to the paradigm of federated zeroth-order optimization (ZOO). Existing federated ZOO algorithms suffer from the limitations of query and communication inefficiency, which can be attributed to (a) their reliance on a substantial number of function queries for gradient estimation and (b) the significant disparity between their realized local updates and the intended global updates. To this end, we (a) introduce trajectory-informed gradient surrogates which is able to use the history of function queries during optimization for accurate and query-efficient gradient estimation, and (b) develop the technique of adaptive gradient correction using these gradient surrogates to mitigate the aforementioned disparity. Based on these, we propose the federated zeroth-order optimization using trajectory-informed surrogate gradients (FZooS) algorithm for query- and communication-efficient federated ZOO. Our FZooS achieves theoretical improvements over the existing approaches, which is supported by our real-world experiments such as federated black-box adversarial attack and federated non-differentiable metric optimization

A view of Estimation of Distribution Algorithms through the lens of Expectation-Maximization

We show that a large class of Estimation of Distribution Algorithms, including, but not limited to, Covariance Matrix Adaption, can be written as a Monte Carlo Expectation-Maximization algorithm, and as exact EM in the limit of infinite samples. Because EM sits on a rigorous statistical foundation and has been thoroughly analyzed, this connection provides a new coherent framework with which to reason about EDAs