October 21, 2021

We consider the problem of minimizing composite functions of the form f(g(x)) + h(x), where f and h are convex functions (which can be nonsmooth) and g is a smooth vector map- ping. In addition, we assume that g is the average of finite number of component mappings or the expectation over a family of random component mappings. We propose a class of stochas- tic variance-reduced prox-linear algorithms for solving such problems and bound their sample complexities for finding an ε-stationary point in terms of the total number of evaluations of the component mappings and their Jacobians. When g is a finite average of N components, we ob- tain sample complexity O(N + N^{4/5} ε^{−1}) for both mapping and Jacobian evaluations. When g is a general expectation, we obtain sample complexities of O(ε^{−5/2}) and O(ε^{−3/2}) for component mappings and their Jacobians respectively. If in addition f is smooth, then improved sample complexities of O(N + N^{1/2} ε^{−1}) and O(ε^{−3/2}) are derived for g being a finite average and a general expectation respectively, for both component mapping and Jacobian evaluations.

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