One-Point Gradient-Free Methods for Composite Optimization with Applications to Distributed Optimization

Abstract

This work is devoted to solving the composite optimization problem with the mixture oracle: for the smooth part of the problem, we have access to the gradient, and for the non-smooth part, only to the one-point zeroorder oracle. We present a method based on the sliding algorithm. Our method allows to separate the oracle complexities and compute the gradient for one of the function as rarely as possible. The paper also examines the applicability of this method to the problems of distributed optimization and federated learning.