Stochastic and Noisy Oracles in Smooth Continuous Optimization

Albert S. Berahas, Liyuan Cao, Katya Scheinberg

We review models of inexact computational oracles in smooth continuous optimization and their implications for the convergence, computational complexity, and attainable accuracy of optimization algorithms. We adopt a framework in which zeroth-,first-, and second-order oracles are characterized by quantitative error bounds and may accept additional control parameters that influence both their accuracy and computational cost. We introduce deterministic and stochastic oracle models and illustrate their properties through a variety of examples, including finite-difference approximations, stochastic gradients, and randomized derivative estimators. Particular attention is given to the distinction between absolute and relative errors, bias and variance, and stochastic function evaluations with independent or coupled randomness. A central theme of the review is the use of common analytical tools to recover and compare convergence and complexity guarantees under different oracle models. For deterministic and stochastic first-order methods, we show how a general descent inequality leads to complexity bounds under various assumptions on the objective function and all proposed oracle models.…