Stochastic First-Order Methods with Non-smooth and Non-Euclidean Proximal Terms for Nonconvex High-Dimensional Stochastic Optimization
<|reference_start|>Stochastic First-Order Methods with Non-smooth and Non-Euclidean Proximal Terms for Nonconvex High-Dimensional Stochastic Optimization: When the nonconvex problem is complicated by stochasticity, the sample complexity of stochastic first-order methods may depend linearly on the problem dimension, which is undesirable for large-scale problems. In this work, we propose dimension-insensitive stochastic first-order methods (DISFOMs) to address nonconvex optimization with expected-valued objective function. Our algorithms allow for non-Euclidean and non-smooth distance functions as the proximal terms. Under mild assumptions, we show that DISFOM using minibatches to estimate the gradient enjoys sample complexity of $ \mathcal{O} ( (\log d) / \epsilon^4 ) $ to obtain an $\epsilon$-stationary point. Furthermore, we prove that DISFOM employing variance reduction can sharpen this bound to $\mathcal{O} ( (\log d)^{2/3}/\epsilon^{10/3} )$, which perhaps leads to the best-known sample complexity result in terms of $d$. We provide two choices of the non-smooth distance functions, both of which allow for closed-form solutions to the proximal step. Numerical experiments are conducted to illustrate the dimension insensitive property of the proposed frameworks.<|reference_end|>
@article{xie2024stochastic,
    title={Stochastic First-Order Methods with Non-smooth and Non-Euclidean
  Proximal Terms for Nonconvex High-Dimensional Stochastic Optimization},
    author={Yue Xie, Jiawen Bi, Hongcheng Liu},
    journal={arXiv preprint arXiv:2406.19475},
    year={2024},
    archivePrefix={arXiv},
    eprint={2406.19475},
    primaryClass={math.OC cs.LG}
}