Finite-sum Composition Optimization via Variance Reduced Gradient Descent

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Xiangru Lian, Mengdi Wang, Ji Liu ;
Proceedings of the 20th International Conference on Artificial Intelligence and Statistics, PMLR 54:1159-1167, 2017.

Abstract

The stochastic composition optimization proposed recently by Wang et al. [2014] minimizes the objective with the composite expectation form: $\min_x (\mathbbE_iF_i ∘\mathbbE_j G_j)(x).$ It summarizes many important applications in machine learning, statistics, and finance. In this paper, we consider the finite-sum scenario for composition optimization: $\min_x f (x) := \frac1n \sum_i = 1^n F_i \left( \frac1m \sum_j = 1^m G_j (x) \right)$. In this paper, two algorithms are proposed to solve this problem by combining the stochastic compositional gradient descent (SCGD) and the stochastic variance reduced gradient (SVRG) technique. A constant linear convergence rate is proved for strongly convex optimization, which substantially improves the sublinear rate $O(K^-0.8)$ of the best known algorithm.

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