Multi-level stochastic gradient methods for nested composition optimization

Shuoguang Yang, Mengdi Wang, Ethan X. Fang

Research output: Contribution to journalArticlepeer-review


Stochastic gradient methods are scalable for solving large-scale optimization problems that involve empirical expectations of loss functions. Existing results mainly apply to optimization problems where the objectives are oneor two-level expectations. In this paper, we consider the multi-level compositional optimization problem that involves compositions of multi-level component functions and nested expectations over a random path. It finds applications in risk-averse optimization and sequential planning. We propose a class of multi-level stochastic gradient methods that are motivated from the method of multi-timescale stochastic approximation. First we propose a basic T-level stochastic compositional gradient algorithm, establish its almost sure convergence and obtain an n-iteration error bound O(n-1/2T ). Then we develop accelerated multi-level stochastic gradient methods by using an extrapolation-interpolation scheme to take advantage of the smoothness of individual component functions. When all component functions are smooth, we show that the convergence rate improves to O(n-4/(7+T)) for general objectives and O(n-4/(3+T)) for strongly convex objectives. We also provide almost sure convergence and rate of convergence results for nonconvex problems. The proposed methods and theoretical results are validated using numerical experiments.

Original languageEnglish (US)
JournalUnknown Journal
StatePublished - Jan 10 2018
Externally publishedYes


  • Convex Optimization
  • Sample complexity
  • Simulation
  • Statistical learning
  • Stochastic gradient
  • Stochastic optimization

ASJC Scopus subject areas

  • General


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