Projection-Free Methods for Stochastic Simple Bilevel Optimization with Convex Lower-level Problem

• URL: http://arxiv.org/abs/2308.07536v1
• Date: Tue, 15 Aug 2023 02:37:11 GMT
• Title: Projection-Free Methods for Stochastic Simple Bilevel Optimization with Convex Lower-level Problem
• Authors: Jincheng Cao, Ruichen Jiang, Nazanin Abolfazli, Erfan Yazdandoost Hamedani, Aryan Mokhtari
• Abstract summary: We study a class of convex bilevel optimization problems, also known as simple bilevel optimization. We introduce novel bilevel optimization methods that approximate the solution set of the lower-level problem.
• Score: 16.9187409976238
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: In this paper, we study a class of stochastic bilevel optimization problems, also known as stochastic simple bilevel optimization, where we minimize a smooth stochastic objective function over the optimal solution set of another stochastic convex optimization problem. We introduce novel stochastic bilevel optimization methods that locally approximate the solution set of the lower-level problem via a stochastic cutting plane, and then run a conditional gradient update with variance reduction techniques to control the error induced by using stochastic gradients. For the case that the upper-level function is convex, our method requires $\tilde{\mathcal{O}}(\max\{1/\epsilon_f^{2},1/\epsilon_g^{2}\}) $ stochastic oracle queries to obtain a solution that is $\epsilon_f$-optimal for the upper-level and $\epsilon_g$-optimal for the lower-level. This guarantee improves the previous best-known complexity of $\mathcal{O}(\max\{1/\epsilon_f^{4},1/\epsilon_g^{4}\})$. Moreover, for the case that the upper-level function is non-convex, our method requires at most $\tilde{\mathcal{O}}(\max\{1/\epsilon_f^{3},1/\epsilon_g^{3}\}) $ stochastic oracle queries to find an $(\epsilon_f, \epsilon_g)$-stationary point. In the finite-sum setting, we show that the number of stochastic oracle calls required by our method are $\tilde{\mathcal{O}}(\sqrt{n}/\epsilon)$ and $\tilde{\mathcal{O}}(\sqrt{n}/\epsilon^{2})$ for the convex and non-convex settings, respectively, where $\epsilon=\min \{\epsilon_f,\epsilon_g\}$.

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