Accelerated Variance Reduced Stochastic Extragradient Method for Sparse Machine Learning Problems

Recently, many stochastic gradient descent algorithms with variance reduction have been proposed. Moreover, their proximal variants such as Prox-SVRG can effectively solve non-smooth problems, which makes that they are widely applied in many machine learning problems. However, the introduction of proximal operator will result in the error of the optimal value. In order to address this issue, we introduce the idea of extragradient and propose a novel accelerated variance reduced stochastic extragradient descent (AVR-SExtraGD) algorithm, which inherits the advantages of Prox-SVRG and momentum acceleration techniques. Moreover, our theoretical analysis shows that AVR-SExtraGD enjoys the best-known convergence rates and oracle complexities of stochastic first-order algorithms such as Katyusha for both strongly convex and non-strongly convex problems. Finally, our experimental results show that for ERM problems and robust face recognition via sparse representation, our AVR-SExtraGD can yield the improved performance compared with Prox-SVRG and Katyusha. The asynchronous variant of AVR-SExtraGD outperforms KroMagnon and ASAGA, which are the asynchronous variants of SVRG and SAGA, respectively.