Decentralized Gradient-Free Methods for Stochastic Non-Smooth Non-Convex Optimization

Abstract

We consider decentralized gradient-free optimization of minimizing Lipschitz continuous functions that satisfy neither smoothness nor convexity assumption. We propose two novel gradient-free algorithms, the Decentralized Gradient-Free Method (DGFM) and its variant, the Decentralized Gradient-Free Method+ (DGFM+). Based on the techniques of randomized smoothing and gradient tracking, DGFM requires the computation of the zeroth-order oracle of a single sample in each iteration, making it less demanding in terms of computational resources for individual computing nodes. Theoretically, DGFM achieves a complexity of O(d^(3/2)δ^(-1)ε^(-4)) for obtaining a (δ,ε)-Goldstein stationary point. DGFM+, an advanced version of DGFM, incorporates variance reduction to further improve the convergence behavior. It samples a mini-batch at each iteration and periodically draws a larger batch of data, which improves the complexity to O(d^(3/2)δ^(-1)ε^(-3)). Moreover, experimental results underscore the empirical advantages of our proposed algorithms when applied to real-world datasets.