Abstract

Traditional algorithms for stochastic optimization require projecting the solution at each iteration into a given domain to ensure its feasibility. When facing complex domains, such as the positive semidefinite cone, the projection operation can be expensive, leading to a high computational cost per iteration. In this paper, we present a novel algorithm that aims to reduce the number of projections for stochastic optimization. The proposed algorithm combines the strength of several recent developments in stochastic optimization, including mini-batches, extragradient, and epoch gradient descent, in order to effectively explore the smoothness and strong convexity. We show, both in expectation and with a high probability, that when the objective function is both smooth and strongly convex, the proposed algorithm achieves the optimal O(1/T ) rate of convergence with only O(log T ) projections. Our empirical study verifies the theoretical result.