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Projection-Free Variance Reduction Methods for Stochastic Constrained Multi-Level Compositional Optimization

Authors :
Jiang, Wei
Yang, Sifan
Yang, Wenhao
Wang, Yibo
Wan, Yuanyu
Zhang, Lijun
Publication Year :
2024

Abstract

This paper investigates projection-free algorithms for stochastic constrained multi-level optimization. In this context, the objective function is a nested composition of several smooth functions, and the decision set is closed and convex. Existing projection-free algorithms for solving this problem suffer from two limitations: 1) they solely focus on the gradient mapping criterion and fail to match the optimal sample complexities in unconstrained settings; 2) their analysis is exclusively applicable to non-convex functions, without considering convex and strongly convex objectives. To address these issues, we introduce novel projection-free variance reduction algorithms and analyze their complexities under different criteria. For gradient mapping, our complexities improve existing results and match the optimal rates for unconstrained problems. For the widely-used Frank-Wolfe gap criterion, we provide theoretical guarantees that align with those for single-level problems. Additionally, by using a stage-wise adaptation, we further obtain complexities for convex and strongly convex functions. Finally, numerical experiments on different tasks demonstrate the effectiveness of our methods.

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.2406.03787
Document Type :
Working Paper