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A.1 SVRG and SCSG Here we provide the pseudocode for SVRG (Algorithm 2) and SCSG (Algorithm 3) seen in Lei et al. [35]. The idea of SVRG (Algorithm 2) is to reuses past full gradient computations (line 3) to reduce the variance of the current stochastic gradient estimate (line 7) before the parameter update (line 8). Note that N = 1 corresponds to a GD step (i.e., v SVRG achieves linear convergence O(1/T) using the semi-stochastic gradient. The key difference is that SCSG (Algorithm 3) considers a sequence of time-varying batch sizes (Bt and bt) and employs geometric sampling to generate the number of parameter update steps Nt in each iteration (line 6), instead of fixing the batch sizes and the number of updates as done in SVRG. Particularly when finding an -approximate solution (Definition 1) for optimizing smooth non-convex objectives, Lei et al. [35] proves that SCSG is never worse than SVRG in convergence rate and significantly outperforms SVRG when the requiredis small.