Zeroth-Order Methods for Nonconvex Stochastic Problems with Decision-Dependent Distributions

TL;DR

This paper introduces two novel zeroth-order optimization methods for nonconvex stochastic problems with decision-dependent uncertainty, achieving convergence guarantees and improved practical performance over existing methods.

Contribution

The paper proposes two new zeroth-order algorithms with variance reduction for decision-dependent stochastic optimization, requiring mild assumptions and offering theoretical convergence analysis.

Findings

Methods converge to stationary points.

Proposed algorithms outperform conventional zeroth-order methods in experiments.

Achieve lower objective values in retail service application.

Abstract

In this study, we consider an optimization problem with uncertainty dependent on decision variables, which has recently attracted attention due to its importance in machine learning and pricing applications. In this problem, the gradient of the objective function cannot be obtained explicitly because the decision-dependent distribution is unknown. Therefore, several zeroth-order methods have been proposed, which obtain noisy objective values by sampling and update the iterates. Although these existing methods have theoretical convergence for optimization problems with decision-dependent uncertainty, they require strong assumptions about the function and distribution or exhibit large variances in their gradient estimators. To overcome these issues, we propose two zeroth-order methods under mild assumptions. First, we develop a zeroth-order method with a new one-point gradient estimator including a variance reduction parameter. The proposed method updates the decision variables while adjusting the variance reduction parameter. Second, we develop a zeroth-order method with a two-point gradient estimator. There are situations where only one-point estimators can be used, but if both one-point and two-point estimators are available, it is more practical to use the two-point estimator. As theoretical results, we show the convergence of our methods to stationary points and provide the worst-case iteration and sample complexity analysis. Our simulation experiments with real data on a retail service application show that our methods output solutions with lower objective values than the conventional zeroth-order methods.