A zeroth-order block coordinate descent algorithm for huge-scale black-box optimization.
Published in ICML , 2021
Joint with HanQin Cai, Yuchen Lou and Wotao Yin.
We study ultra-high dimensional black-box optimization (over 1 million variables). We combine the ZORO sparse gradient estimator with a block coordinate descent scheme to obtain an algorithm which is both query and time efficient.