A Geometry-Aware Efficient Algorithm for Compositional Entropic Risk Minimization

TL;DR

This paper introduces SCENT, a geometry-aware stochastic algorithm for efficient optimization of compositional entropic risk minimization problems, addressing limitations of existing methods with theoretical guarantees and empirical success.

Contribution

The paper proposes a novel geometry-aware stochastic algorithm, SCENT, with a stochastic proximal mirror descent update for dual variables, achieving improved convergence and stability.

Findings

Achieves an $O(1/ oot 2 T)$ convergence rate for convex problems.

Demonstrates superior empirical performance on classification and robustness tasks.

Outperforms existing baselines in multiple machine learning applications.

Abstract

This paper studies optimization for a family of problems termed $\textbf{compositional entropic risk minimization}$, in which each data's loss is formulated as a Log-Expectation-Exponential (Log-E-Exp) function. The Log-E-Exp formulation serves as an abstraction of the Log-Sum-Exponential (LogSumExp) function when the explicit summation inside the logarithm is taken over a gigantic number of items and is therefore expensive to evaluate. While entropic risk objectives of this form arise in many machine learning problems, existing optimization algorithms suffer from several fundamental limitations including non-convergence, numerical instability, and slow convergence rates. To address these limitations, we propose a geometry-aware stochastic algorithm, termed $\textbf{SCENT}$, for the dual formulation of entropic risk minimization cast as a min--min optimization problem. The key to our design is a $\textbf{stochastic proximal mirror descent (SPMD)}$ update for the dual variable, equipped with a Bregman divergence induced by a negative exponential function that faithfully captures the geometry of the objective. Our main contributions are threefold: (i) we establish an $O(1/\sqrt{T})$ convergence rate of the proposed SCENT algorithm for convex problems; (ii) we theoretically characterize the advantages of SPMD over standard SGD update for optimizing the dual variable; and (iii) we demonstrate the empirical effectiveness of SCENT on extreme classification, partial AUC maximization, contrastive learning and distributionally robust optimization, where it consistently outperforms existing baselines.