A Stochastic Approximation Framework for a Class of Randomized Optimization Algorithms

We study a class of random sampling-based algorithms for solving general non-differentiable optimization problems. These are iterative approaches that are based on sampling from and updating an underlying distribution function over the set of feasible solutions. In particular, we propose a novel and systematic framework to investigate the convergence and asymptotic convergence rates of these algorithms by exploiting their connections to the well-known stochastic approximation (SA) method. Such an SA framework unifies our understanding of these randomized algorithms and provides new insight into their design and implementation issues. Our preliminary numerical experiments indicate that new implementations of these algorithms based on the proposed framework may lead to improved performance over existing procedures.