{
  "id": "2011.06064",
  "version": "v1",
  "published": "2020-11-11T20:45:47.000Z",
  "updated": "2020-11-11T20:45:47.000Z",
  "title": "Non-local Optimization: Imposing Structure on Optimization Problems by Relaxation",
  "authors": [
    "Nils Müller",
    "Tobias Glasmachers"
  ],
  "comment": "15 pages, 1 figure",
  "categories": [
    "math.OC",
    "cs.NE",
    "stat.ML"
  ],
  "abstract": "In stochastic optimization, particularly in evolutionary computation and reinforcement learning, the optimization of a function $f: \\Omega \\to \\mathbb{R}$ is often addressed through optimizing a so-called relaxation $\\theta \\in \\Theta \\mapsto \\mathbb{E}_\\theta(f)$ of $f$, where $\\Theta$ resembles the parameters of a family of probability measures on $\\Omega$. We investigate the structure of such relaxations by means of measure theory and Fourier analysis, enabling us to shed light on the success of many stochastic optimization methods. The main structural traits we derive, and that allow fast and reliable optimization of relaxations, are the resemblance of optimal values of $f$, Lipschitzness of gradients, and convexity.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2020-11-11T20:45:47.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "90C15",
      "90C30",
      "90C56"
    ],
    "keywords": [
      "optimization problems",
      "non-local optimization",
      "relaxation",
      "imposing structure",
      "stochastic optimization methods"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 15,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}