On the analysis of variance-reduced and randomized projection variants of single projection schemes for monotone stochastic variational inequality problems (1904.11076v3)

Abstract: Classical extragradient schemes and their stochastic counterpart represent a cornerstone for resolving monotone variational inequality problems. Yet, such schemes have a per-iteration complexity of two projections onto a convex set and require two evaluations of the map, the former of which could be relatively expensive if $X$ is a complicated set. We consider two related avenues where the per-iteration complexity is significantly reduced: (i) A stochastic projected reflected gradient method requiring a single evaluation of the map and a single projection; and (ii) A stochastic subgradient extragradient method that requires two evaluations of the map, a single projection onto $X$, and a significantly cheaper projection (onto a halfspace) computable in closed form. Under a variance-reduced framework reliant on a sample-average of the map based on an increasing batch-size, we prove almost sure (a.s.) convergence of the iterates to a random point in the solution set for both schemes. Additionally, both schemes display a non-asymptotic rate of $\mathcal{O}(1/K)$ where $K$ denotes the number of iterations; notably, both rates match those obtained in deterministic regimes. To address feasibility sets given by the intersection of a large number of convex constraints, we adapt both of the aforementioned schemes to a random projection framework. We then show that the random projection analogs of both schemes also display a.s. convergence under a weak-sharpness requirement; furthermore, without imposing the weak-sharpness requirement, both schemes are characterized by a provable rate of $\mathcal{O}(1/\sqrt{K})$ in terms of the gap function of the projection of the averaged sequence onto $X$ as well as the infeasibility of this sequence. Preliminary numerics support theoretical findings and the schemes outperform standard extragradient schemes in terms of the per-iteration complexity.