Variance-reduced first-order methods for deterministically constrained stochastic nonconvex optimization with strong convergence guarantees

• URL: http://arxiv.org/abs/2409.09906v3
• Date: Thu, 10 Oct 2024 12:30:14 GMT
• Title: Variance-reduced first-order methods for deterministically constrained stochastic nonconvex optimization with strong convergence guarantees
• Authors: Zhaosong Lu, Sanyou Mei, Yifeng Xiao,
• Abstract summary: Existing methods typically aim to find an $epsilon$-stochastic stationary point, where the expected violations of both constraints and first-order stationarity are within a prescribed accuracy. In many practical applications, it is crucial that the constraints be nearly satisfied with certainty, making such an $epsilon$-stochastic stationary point potentially undesirable.
• Score: 1.2562458634975162
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: In this paper, we study a class of deterministically constrained stochastic optimization problems. Existing methods typically aim to find an $\epsilon$-stochastic stationary point, where the expected violations of both constraints and first-order stationarity are within a prescribed accuracy $\epsilon$. However, in many practical applications, it is crucial that the constraints be nearly satisfied with certainty, making such an $\epsilon$-stochastic stationary point potentially undesirable due to the risk of significant constraint violations. To address this issue, we propose single-loop variance-reduced stochastic first-order methods, where the stochastic gradient of the stochastic component is computed using either a truncated recursive momentum scheme or a truncated Polyak momentum scheme for variance reduction, while the gradient of the deterministic component is computed exactly. Under the error bound condition with a parameter $\theta \geq 1$ and other suitable assumptions, we establish that these methods respectively achieve a sample and first-order operation complexity of $\widetilde O(\epsilon^{-\max\{\theta+2, 2\theta\}})$ and $\widetilde O(\epsilon^{-\max\{4, 2\theta\}})$ for finding a stronger $\epsilon$-stochastic stationary point, where the constraint violation is within $\epsilon$ with certainty, and the expected violation of first-order stationarity is within $\epsilon$. For $\theta=1$, these complexities reduce to $\widetilde O(\epsilon^{-3})$ and $\widetilde O(\epsilon^{-4})$ respectively, which match, up to a logarithmic factor, the best-known complexities achieved by existing methods for finding an $\epsilon$-stochastic stationary point of unconstrained smooth stochastic optimization problems.

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