Stochastic nested primal-dual method for nonconvex constrained composition optimization
\(\) In this paper we study the nonconvex constrained composition optimization, in which the objective contains a composition of two expected-value functions whose accurate information is normally expensive to calculate. We propose a STochastic nEsted Primal-dual (STEP) method for such problems. In each iteration, with an auxiliary variable introduced to track the inner layer function … Read more