We consider the optimization problem of the form minwhere the component F (x; ξ) is L-mean-squared Lipschitz but possibly nonconvex and nonsmooth. The recently proposed gradient-free method requires at most O(L 4 d 3/2 ǫ −4 + ∆L 3 d 3/2 δ −1 ǫ −4 ) stochastic zeroth-order oracle complexity to find a (δ, ǫ)-Goldstein stationary point of objective function, whereand x0 is the initial point of the algorithm. This paper proposes a more efficient algorithm using stochastic recursive gradient estimator, which improves the complexity to O(L 3 d 3/2 ǫ −3 + ∆L 2 d 3/2 δ −1 ǫ −3 ).
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