Randomized Similar Triangles Method: A Unifying Framework for Accelerated Randomized Optimization Methods (Coordinate Descent, Directional Search, Derivative-Free Method)

In this paper, we consider smooth convex optimization problems with simple constraints and inexactness in the oracle information such as value, partial or directional derivatives of the objective function. We introduce a unifying framework, which allows to construct different types of accelerated randomized methods for such problems and to prove convergence rate theorems for them. … Read more