期刊
2020 AMERICAN CONTROL CONFERENCE (ACC)
卷 -, 期 -, 页码 126-131出版社
IEEE
DOI: 10.23919/acc45564.2020.9147515
关键词
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Convex composition optimization is an emerging topic that covers a wide range of applications arising from stochastic optimal control, reinforcement learning and multi-stage stochastic programming. Existing algorithms suffer from unsatisfactory sample complexity and practical issues since they ignore the convexity structure in the algorithmic design. In this paper, we develop a new stochastic compositional variance-reduced gradient algorithm with the sample complexity of O((m + n) log(1/epsilon) + 1/epsilon(3)) where m + n is the total number of samples. Our algorithm is near-optimal as the dependence on m + n is optimal up to a logarithmic factor. Experimental results on real-world datasets demonstrate the effectiveness and efficiency of the new algorithm.
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