Solving Stochastic Compositional Optimization is Nearly as Easy as Solving Stochastic Optimization

Understand

Stochastic compositional optimization generalizes classic (non-compositional) stochastic optimization to the minimization of compositions of functions.

• Each composition may introduce an additional expectation.
• The series of expectations may be nested.
• Stochastic compositional optimization is gaining popularity in applications such as reinforcement learning and meta learning.