Truncated Cauchy random perturbations for smoothed functional-based stochastic optimization

Mondal, A and Prashanth, LA and Bhatnagar, S (2024) Truncated Cauchy random perturbations for smoothed functional-based stochastic optimization. In: Automatica, 162 .

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Abstract

In this paper, we present a stochastic gradient algorithm for minimizing a smooth objective function that is an expectation over noisy cost samples and only the latter are observed for any given parameter. Our algorithm employs a gradient estimation scheme with random perturbations obtained from the truncated Cauchy distribution. We analyze the bias and variance of the proposed gradient estimator. Our algorithm is found to be particularly useful in the case when the objective function is non-convex and the parameter dimension is high. From an asymptotic convergence analysis, we establish that our algorithm converges almost surely to the set of stationary points of the objective function. Further, the asymptotic convergence rate of our algorithm is better than Gaussian smoothed functional (GSF) and simultaneous perturbation stochastic approximation (SPSA), which are two popular algorithms that employ random perturbations for gradient estimation. We also show that our algorithm avoids unstable equilibria and thereby converges to local minima. In addition, we establish a non-asymptotic bound for our algorithm toward finding a stationary point of the non-convex objective function. © 2024 Elsevier Ltd

Item Type:	Journal Article
Publication:	Automatica
Publisher:	Elsevier Ltd
Additional Information:	The copyright for this article belongs to Elsevier Ltd.
Keywords:	Approximation algorithms; Convex optimization; Parameter estimation; Random processes, Gradient estimation; Nonconvex optimization; Objective functions; Random perturbations; Smoothed functional algorithm; Stationary points; Stochastic non-convex optimization; Stochastics; Truncated cauchy perturbation; Zeroth-order gradient estimation, Stochastic systems
Department/Centre:	Division of Mechanical Sciences > Materials Engineering (formerly Metallurgy)
Date Deposited:	04 Mar 2024 05:58
Last Modified:	04 Mar 2024 05:58
URI:	https://eprints.iisc.ac.in/id/eprint/84138

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