A Single-Timescale Method for Stochastic Bilevel Optimization

Tianyi Chen · Yuejiao Sun · Quan Xiao · Wotao Yin

[ Abstract ] [ Livestream: Visit Oral 5: Kernels / Optimization / Deep learning ]
Tue 29 Mar 2:45 a.m. — 3 a.m. PDT

Stochastic bilevel optimization generalizes the classic stochastic optimization from the minimization of a single objective to the minimization of an objective function that depends on the solution of another optimization problem. Recently, bilevel optimization is regaining popularity in emerging machine learning applications such as hyper-parameter optimization and model-agnostic meta learning. To solve this class of optimization problems, existing methods require either double-loop or two-timescale updates, which are sometimes less efficient. This paper develops a new optimization method for a class of stochastic bilevel problems that we term Single-Timescale stochAstic BiLevEl optimization (\textbf{STABLE}) method. STABLE runs in a single loop fashion, and uses a single-timescale update with a fixed batch size. To achieve an $\epsilon$-stationary point of the bilevel problem, STABLE requires ${\cal O}(\epsilon^{-2})$ samples in total; and to achieve an $\epsilon$-optimal solution in the strongly convex case, STABLE requires ${\cal O}(\epsilon^{-1})$ samples. To the best of our knowledge, when STABLE was proposed, it is the \emph{first} bilevel optimization algorithm achieving the same order of sample complexity as SGD for single-level stochastic optimization.

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