We present Free-MESSAGEp, the first zeroth-order algorithm for convex mean-semideviation-based risk-aware learning, which is also three-level compositional stochastic optimization algorithm, whatsoever. Using a non-trivial extension of Nesterov's classical results on Gaussian smoothing, we develop Free-MESSAGEp from principles, and show that it essentially solves smoothed surrogate to original ...
