Stochastic and Noisy Oracles in Smooth Continuous Optimization

Abstract: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. In the stochastic setting, we develop bounds on expected stopping times and the accuracy that can be guaranteed under different oracle conditions. We also examine the total computational complexity of algorithms relying on specific oracle constructions and briefly review models of inexact second- order information and their use in optimization algorithms.

Optimization and Control (math.OC); Computational Complexity (cs.CC); Machine Learning (cs.LG)

arXiv:2610.41086 [math.OC]

(or arXiv:2610.41086v1 [math.OC] for this version)

https://doi.org/10.48550/arXiv.2610.41086 Focus to learn more arXiv-issued DOI via DataCite (pending registration)

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