  We present an information-theoretic approach to lower bound the oracle
complexity of nonsmooth black box convex optimization, unifying previous lower
bounding techniques by identifying a combinatorial problem, namely string
guessing, as a single source of hardness. As a measure of complexity we use
distributional oracle complexity, which subsumes randomized oracle complexity
as well as worst-case oracle complexity. We obtain strong lower bounds on
distributional oracle complexity for the box $[-1,1]^n$, as well as for the
$L^p$-ball for $p \geq 1$ (for both low-scale and large-scale regimes),
matching worst-case upper bounds, and hence we close the gap between
distributional complexity, and in particular, randomized complexity, and
worst-case complexity. Furthermore, the bounds remain essentially the same for
high-probability and bounded-error oracle complexity, and even for combination
of the two, i.e., bounded-error high-probability oracle complexity. This
considerably extends the applicability of known bounds.
