Convergence of zeroth-order proximal point algorithms in the high-temperature regime

Abstract: Efficient methods for non-convex black-box optimization largely rely on sampling. In this context, the Zeroth-Order Proximal Operator (ZOPO) and the corresponding Zeroth-Order Proximal Point Algorithm (ZOPPA) have attracted significant interest, as they combine the advantage of requiring only objective evaluations with the powerful theoretical framework of proximal point algorithms. ZOPO depends on a temperature parameter which, when going to zero, reduces ZOPO to the exact proximal operator. By exploiting this property, the vanishing-temperature regime has been leveraged in several works to obtain theoretical guarantees via inexact proximal methods. However, this regime is computationally unsustainable when sampling is used to estimate ZOPO, since the corresponding Monte Carlo estimators suffer from severe variance issues. We therefore propose a comprehensive analysis of ZOPO for any fixed positive temperature, and prove convergence of ZOPPA under minimal assumptions on the objective function. We do so by demonstrating that ZOPPA can be interpreted as an exact proximal point method applied to an auxiliary smoothed objective, rather than an inexact method on the original function. Importantly, we further derive explicit guarantees connecting this smoothed problem back to the original objective and establish convergence results for the sampled method (S-ZOPPA) at a fixed temperature.