Minibatch Stochastic Three Points Method for Unconstrained Smooth Minimization

We present a new zero-order optimization method called Minibatch Stochastic Three Points (MiSTP), specifically designed to solve stochastic unconstrained minimization problems when only an approximate evaluation of the objective function is possible. MiSTP is an extension of the Stochastic Three Point Method (STP). The key innovation of MiSTP is that it selects the next point solely based on the objective function approximation, without relying on its exact evaluation. At each iteration, MiSTP generates a random search direction and compares the approximations of the objective function at the current point, the randomly generated direction and its opposite. The best of these three points is chosen as the next iterate. We analyze the worst-case complexity of MiSTP in the convex and non-convex cases and demonstrate that it matches the most accurate complexity bounds known in the literature for zero-order optimization methods. We perform extensive numerical evaluations to assess the computational efficiency of MiSTP and compare its performance to other state-of-the-art methods by testing it on several machine learning tasks. The results show that MiSTP outperforms or has comparable performance against state-of-the-art methods indicating its potential for a wide range of practical applications.