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A Hybrid Stochastic Optimization Framework for Stochastic Composite Nonconvex Optimization

We introduce a new approach to develop stochastic optimization algorithms for a class of stochastic composite and possibly nonconvex optimization problems. The main idea is to combine two stochastic estimators to create a new hybrid one. We first introduce our hybrid estimator and then investigate its fundamental properties to form a foundational theory for algorithmic development. Next, we apply our theory to develop several variants of stochastic gradient methods to solve both expectation and finite-sum composite optimization problems. Our first algorithm can be viewed as a variant of proximal stochastic gradient methods with a single-loop, but can achieve $\mathcal{O}(σ^3\varepsilon^{-1} + σ\varepsilon^{-3})$-oracle complexity bound, matching the best-known ones from state-of-the-art double-loop algorithms in the literature, where $σ> 0$ is the variance and $\varepsilon$ is a desired accuracy. Then, we consider two different variants of our method: adaptive step-size and restarting schemes that have similar theoretical guarantees as in our first algorithm. We also study two mini-batch variants of the proposed methods. In all cases, we achieve the best-known complexity bounds under standard assumptions. We test our methods on several numerical examples with real datasets and compare them with state-of-the-arts. Our numerical experiments show that the new methods are comparable and, in many cases, outperform their competitors.