As an incremental-gradient algorithm, the hybrid stochastic gradient descent (HSGD) enjoys merits of both stochastic and full gradient methods for finite-sum minimization problem. However, the existing rate-of-convergence analysis for HSGD is made under with-replacement sampling (WRS) and is restricted to convex problems. It is not clear whether HSGD still carries these advantages under the common practice of without-replacement sampling (WoRS) for non-convex problems. In this paper, we affirmatively answer this open question by showing that under WoRS and for both convex and non-convex problems, it is still possible for HSGD (with constant step-size) to match full gradient descent in rate of convergence, while maintaining comparable sample-size-independent incremental first-order oracle complexity to stochastic gradient descent. For a special class of finite-sum problems with linear prediction models, our convergence results can be further improved in some cases. Extensive numerical results confirm our theoretical affirmation and demonstrate the favorable efficiency of WoRS-based HSGD.

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Stochastic Proximal Gradient (SPG) methods have been widely used for solving optimization problems with a simple (possibly non-smooth) regularizer in machine learning and statistics.

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Stochastic Proximal Gradient (SPG) methods have been widely used for solving optimization problems with a simple (possibly non-smooth) regularizer in machine learning and statistics. However, to the best of our knowledge no non-asymptotic convergence analysis of SPG exists for non-convex optimization with a non-smooth and non-convex regularizer. All existing non-asymptotic analysis of SPG for solving non-smooth non-convex problems require the non-smooth regularizer to be a convex function, and hence are not applicable to a non-smooth non-convex regularized problem. This work initiates the analysis to bridge this gap and opens the door to non-asymptotic convergence analysis of non-smooth non-convex regularized problems. We analyze several variants of mini-batch SPG methods for minimizing a non-convex objective that consists of a smooth non-convex loss and a non-smooth non-convex regularizer. Our contributions are two-fold: (i) we show that they enjoy the same complexities as their counterparts for solving convex regularized non-convex problems in terms of finding an approximate stationary point; (ii) we develop more practical variants using dynamic mini-batch size instead of a fixed mini-batch size without requiring the target accuracy level of solution. The significance of our results is that they improve upon the-state-of-art results for solving non-smooth non-convex regularized problems. We also empirically demonstrate the effectiveness of the considered SPG methods in comparison with other peer stochastic methods.