Speeding up Stochastic Proximal Optimization in the High Hessian Dissimilarity Setting

Abstract: Stochastic proximal point methods have recently garnered renewed attention within the optimization community, primarily due to their desirable theoretical properties. Notably, these methods exhibit a convergence rate that is independent of the Lipschitz smoothness constants of the loss function, a feature often missing in the loss functions of modern ML applications. In this paper, we revisit the analysis of the Loopless Stochastic Variance Reduced Proximal Point Method (L-SVRP). Building on existing work, we establish a theoretical improvement in the convergence rate in scenarios characterized by high Hessian dissimilarity among the functions. Our concise analysis, which does not require smoothness assumptions, demonstrates a significant improvement in communication complexity compared to standard stochastic gradient descent.