arXiv subjects

Fedor Fedorenko

Publications and source records attributed to Fedor Fedorenko.

2 recordsLinked to original sources

arXiv2017

Nonlinear stochastic multiarmed bandit problems with inexact oracle

In the paper we consider one point and two point multiarmed bamdit problems. In other words we consider the online stochastic convex optimization problems with oracle that return the value (realization) of the function at one point or at two points. We allow these values to be inexact, but the level of noise should be small enough. We generalize well known results for inexact oracle case. And we also generalize classical results to prox-structures differ from euclidian.

math.OC↗

arXiv2016

Gradient-free prox-methods with inexact oracle for stochastic convex optimization problems on a simplex

In the paper we show that euclidian randomization in some situations (i.e. for gradient-free method on a simplex) can be as good as the randomization on the unit sphere in 1-norm. That is on the simplex example we show that for gradient-free methods the choise of the prox-structure and the choise of a way of randomization have to be connected to each other. We demonstrate how it can be done in an optimal way. It is important that we consider inexact oracle.

math.OC↗