We consider the problem of optimizing an approximately convex function over a
bounded convex set in Rn using only function evaluations. The
problem is reduced to sampling from an \emph{approximately} log-concave
distribution using the Hit-and-Run method, which is shown to have the same
O∗ complexity as sampling from log-concave distributions. In
addition to extend the analysis for log-concave distributions to approximate
log-concave distributions, the implementation of the 1-dimensional sampler of
the Hit-and-Run walk requires new methods and analysis. The algorithm then is
based on simulated annealing which does not relies on first order conditions
which makes it essentially immune to local minima.
We then apply the method to different motivating problems. In the context of
zeroth order stochastic convex optimization, the proposed method produces an
ϵ-minimizer after O∗(n7.5ϵ−2) noisy function
evaluations by inducing a O(ϵ/n)-approximately log concave
distribution. We also consider in detail the case when the "amount of
non-convexity" decays towards the optimum of the function. Other applications
of the method discussed in this work include private computation of empirical
risk minimizers, two-stage stochastic programming, and approximate dynamic
programming for online learning.Comment: 27 page