Accelerated Zeroth-Order and First-Order Momentum Methods from Mini to Minimax Optimization

Abstract

In the paper, we propose a class of accelerated zeroth-order and first-order momentum methods for both nonconvex mini-optimization and minimax-optimization. Specifically, we propose a new accelerated zeroth-order momentum (Acc-ZOM) method for black-box mini-optimization where only function values can be obtained. Moreover, we prove that our Acc-ZOM method achieves a lower query complexity of $\tilde{O}(d^{3/4}ε^{-3})$ for finding an $ε$-stationary point, which improves the best known result by a factor of $O(d^{1/4})$ where $d$ denotes the variable dimension. In particular, our Acc-ZOM does not need large batches required in the existing zeroth-order stochastic algorithms. Meanwhile, we propose an accelerated zeroth-order momentum descent ascent (Acc-ZOMDA) method for black-box minimax optimization, where only function values can be obtained. Our Acc-ZOMDA obtains a low query complexity of $\tilde{O}((d_1+d_2)^{3/4}κ_y^{4.5}ε^{-3})$ without requiring large batches for finding an $ε$-stationary point, where $d_1$ and $d_2$ denote variable dimensions and $κ_y$ is condition number. Moreover, we propose an accelerated first-order momentum descent ascent (Acc-MDA) method for minimax optimization, whose explicit gradients are accessible. Our Acc-MDA achieves a low gradient complexity of $\tilde{O}(κ_y^{4.5}ε^{-3})$ without requiring large batches for finding an $ε$-stationary point. In particular, our Acc-MDA can obtain a lower gradient complexity of $\tilde{O}(κ_y^{2.5}ε^{-3})$ with a batch size $O(κ_y^4)$, which improves the best known result by a factor of $O(κ_y^{1/2})$. Extensive experimental results on black-box adversarial attack to deep neural networks and poisoning attack to logistic regression demonstrate efficiency of our algorithms.