Stochastic Gauss-Newton Algorithms for Nonconvex Compositional Optimization

17 Feb 2020Quoc Tran-DinhNhan H. PhamLam M. Nguyen

We develop two new stochastic Gauss-Newton algorithms for solving a class of non-convex stochastic compositional optimization problems frequently arising in practice. We consider both the expectation and finite-sum settings under standard assumptions, and use both classical stochastic and SARAH estimators for approximating function values and Jacobians... (read more)

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