Direct Search Methods for Online Nonconvex Optimization Under Inexact Bandit Feedback

Abstract

Optimization under zeroth-order (i.e., bandit) feedback is central to many engineering problems where the analytic forms of objectives and/or constraints are unavailable. In modern applications, such as online control and online learning, optimization problems often evolve with time, requiring adaptive optimization methodologies. Yet, existing methods in this seting are largely confined to adaptations of methodologies developed for time-invariant or first-order optimization, and thus often rely on gradient surrogates that fail to fully exploit the zeroth-order structure of the available information. In this paper, we propose a randomized two-point direct-search algorithm for nonconvex time-varying optimization and derive iteration-complexity bounds under both constant and diminishing probing ratios. The resulting analysis yields explicit stationarity bounds in terms of the temporal variability of the problem and possible oracle errors. Our complexity bounds recover the complexity of existing zeroth-order methods in the time-invariant setting, while extending direct- search methods beyond static settings. As an illustrative application, we show that the methodology is naturally suited to solve optimal (equilibrium-selection) control problems for dynamical systems. In this setting, the analysis yields explicit stationarity bounds in terms of the temporal variability of the problem, measured through the effects of plant dynamics and exogenous disturbance variations.