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Seminar | Mathematics and Computer Science Division

A Nonlocal Gradient for High-Dimensional Black-Box Optimization in Scientific Applications

LANS Seminar

Abstract: In this talk, we consider the problem of minimizing multi-modal loss functions with many local optima. Since the local gradient points to the direction of the steepest slope in an infinitesimal neighborhood, an optimizer guided by the local gradient is often trapped in a local minimum. To address this issue, we develop a novel nonlocal gradient to skip small local minima by capturing major structures of the loss’s landscape in black-box optimization. The nonlocal gradient is defined by a directional Gaussian smoothing (DGS) approach. The key idea is to conduct 1D long-range exploration with a large smoothing radius along orthogonal directions, each of which defines a nonlocal directional derivative as a 1D integral. Such long-range exploration enables the nonlocal gradient to skip small local minima. We use the Gauss-Hermite quadrature rule to approximate the d 1D integrals to obtain an accurate estimator. We also provide theoretical analysis on the convergence of the method on nonconvex landscape.

In this work, we investigate the scenario where the objective function is composed of a convex function, perturbed by a highly oscillating, deterministic noise. We provide a convergence theory under which the iterates converge to a tightened neighborhood of the solution, whose size is characterized by the noise frequency. We complement our theoretical analysis with numerical experiments to illustrate the performance of this approach.

Bio: Guannan Zhang is a Senior Research Scientist in the Machine Learning and Data Analytics Group at Oak Ridge National Laboratory (ORNL). He earned his Ph.D. in applied mathematics at Florida State University.