Median Clipping for Zeroth-order Non-Smooth Convex Optimization and Multi-Armed Bandit Problem with Heavy-tailed Symmetric Noise

Abstract: In this paper, we consider non-smooth convex optimization with a zeroth-order oracle corrupted by symmetric stochastic noise. Unlike the existing high-probability results requiring the noise to have bounded $\kappa$-th moment with $\kappa \in (1,2]$, our results allow even heavier noise with any $\kappa > 0$, e.g., the noise distribution can have unbounded expectation. Our convergence rates match the best-known ones for the case of the bounded variance. To achieve this, we build the median gradient estimate with bounded second moment as the mini-batched median of the sampled gradient differences. We apply this technique to the stochastic multi-armed bandit problem with heavy-tailed distribution of rewards and achieve $\tilde{O}(\sqrt{dT})$ regret. We demonstrate the performance of our zeroth-order and MAB algorithms for different $\kappa$ on synthetic and real-world data. Our methods do not lose to SOTA approaches, moreover, they dramatically outperform SOTA for $\kappa \leq 1$.