In this paper, we propose a new stochastic algorithmic framework to solve stochastic composite nonconvex optimization problems that covers both finite-sum and expectation settings. Our algorithms rely on the SARAH estimator introduced in (Nguyen et al., 2017a) and consist of two steps: a proximal gradient step and an averaging step that are different from existing nonconvex proximal-type algorithms. The algorithms only require a smoothness assumption of the nonconvex objective term. In the finite-sum case, we show that our algorithm achieves optimal convergence rate by matching the lower-bound worst-case complexity, while in the expectation case, it attains the best-known convergence rate under only standard smoothness and bounded variance assumptions. One key step of our algorithms is a new constant step-size that helps to achieve desired convergence rate. Our step-size is much larger than existing methods including proximal SVRG schemes in the single sample case. We generalize our algorithm to mini-batches for both inner and outer loops, and adaptive step-sizes. We also specify the algorithm to the non-composite case that covers and dominates existing state-of-the-arts in terms of convergence rate. We test the proposed algorithms on two composite nonconvex optimization problems and feedforward neural networks using several well-known datasets.
View on arXiv