A Single-Timescale Stochastic Bilevel Optimization Method

• URL: http://arxiv.org/abs/2102.04671v1
• Date: Tue, 9 Feb 2021 06:35:30 GMT
• Title: A Single-Timescale Stochastic Bilevel Optimization Method
• Authors: Tianyi Chen, Yuejiao Sun, Wotao Yin
• Abstract summary: This paper develops a new method for a class of bilevel problems that we term Single-Timescale stochAstic BiEl optimization (STABLE) method. To achieve an $epsilon$-stationary point of the bilevel problem, STABLE requires $cal O(epsilon-2)$ samples in total; and to achieve an $epsilon$-optimal solution in the strongly convex case, STABLE requires $cal O(epsilon-1)$ samples.
• Score: 34.868681953242934
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Stochastic bilevel optimization generalizes the classic stochastic optimization from the minimization of a single objective to the minimization of an objective function that depends the solution of another optimization problem. Recently, stochastic bilevel optimization is regaining popularity in emerging machine learning applications such as hyper-parameter optimization and model-agnostic meta learning. To solve this class of stochastic optimization problems, existing methods require either double-loop or two-timescale updates, which are sometimes less efficient. This paper develops a new optimization method for a class of stochastic bilevel problems that we term Single-Timescale stochAstic BiLevEl optimization (STABLE) method. STABLE runs in a single loop fashion, and uses a single-timescale update with a fixed batch size. To achieve an $\epsilon$-stationary point of the bilevel problem, STABLE requires ${\cal O}(\epsilon^{-2})$ samples in total; and to achieve an $\epsilon$-optimal solution in the strongly convex case, STABLE requires ${\cal O}(\epsilon^{-1})$ samples. To the best of our knowledge, this is the first bilevel optimization algorithm achieving the same order of sample complexity as the stochastic gradient descent method for the single-level stochastic optimization.

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