Variance-Reduced First-Order Methods for Deterministically Constrained Stochastic Nonconvex Optimization with Strong Convergence Guarantees

In this paper, we study a class of deterministically constrained stochastic nonconvex optimization problems. Existing methods typically aim to find an ϵ-expectedly feasible stochastic stationary point, where the expected violations of both constraints and first-order stationarity are within a prescribed tolerance ϵ. However, in many practical applications, it is crucial that the constraints be nearly satisfied with certainty, making such an ϵ-stochastic stationary point potentially undesirable due to the risk of substantial constraint violations. To address this issue, we propose single-loop variance-reduced stochastic first-order methods, where the stochastic gradient of the stochastic component is computed using either a truncated recursive momentum scheme or a truncated Polyak momentum scheme for variance reduction, while the gradient of the deterministic component is computed exactly. Under the error bound condition with a parameter θ ≥1 and other suitable assumptions, we establish that these methods respectively achieve sample complexity and first-order oracle complexity of (Formula presented) for finding an ϵ-surely feasible stochastic stationary point (formula presented) with logarithmic factors hidden), where the constraint violation is within ϵ with certainty, and the expected violation of first-order stationarity is within ϵ. For θ =1, these complexities reduce to (formula presented), respectively, which match, up to a logarithmic factor, the best-known complexities achieved by existing methods for finding an ϵ -stochastic stationary point of unconstrained smooth stochastic nonconvex optimization problems.

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Publication Details

Journal
SIAM Journal on Optimization
Published
2026-01-02
DOI
https://doi.org/10.1137/24m1693933
Primary Topic
Stochastic Gradient Optimization Techniques
Type
article
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article

Variance-Reduced First-Order Methods for Deterministically Constrained Stochastic Nonconvex Optimization with Strong Convergence Guarantees

Zhaosong Lu, Sanyou Mei, Yifeng Xiao
SIAM Journal on Optimization
Stochastic Gradient Optimization Techniques
article

Variance-Reduced First-Order Methods for Deterministically Constrained Stochastic Nonconvex Optimization with Strong Convergence Guarantees

Zhaosong Lu, Sanyou Mei, Yifeng Xiao
article en

Abstract

In this paper, we study a class of deterministically constrained stochastic nonconvex optimization problems. Existing methods typically aim to find an ϵ-expectedly feasible stochastic stationary point, where the expected violations of both constraints and first-order stationarity are within a prescribed tolerance ϵ. However, in many practical applications, it is crucial that the constraints be nearly satisfied with certainty, making such an ϵ-stochastic stationary point potentially undesirable due to the risk of substantial constraint violations. To address this issue, we propose single-loop variance-reduced stochastic first-order methods, where the stochastic gradient of the stochastic component is computed using either a truncated recursive momentum scheme or a truncated Polyak momentum scheme for variance reduction, while the gradient of the deterministic component is computed exactly. Under the error bound condition with a parameter θ ≥1 and other suitable assumptions, we establish that these methods respectively achieve sample complexity and first-order oracle complexity of (Formula presented) for finding an ϵ-surely feasible stochastic stationary point (formula presented) with logarithmic factors hidden), where the constraint violation is within ϵ with certainty, and the expected violation of first-order stationarity is within ϵ. For θ =1, these complexities reduce to (formula presented), respectively, which match, up to a logarithmic factor, the best-known complexities achieved by existing methods for finding an ϵ -stochastic stationary point of unconstrained smooth stochastic nonconvex optimization problems.

SIAM Journal on OptimizationVol. 36(1)
University of Minnesota (US), Hong Kong University of Science and Technology (HK), University of Minnesota System (US), Decision Sciences (United States) (US), University of Hong Kong (HK)
Reduced inequalities
Openalex Percentile: Top 98%
Stochastic Gradient Optimization Techniques
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