This package contains the code for the paper titled "Stochastic Composition Optimization of Functions without Lipschitz Continuous Gradient" available HERE.

The package contains three algorithms within the paper for the Smooth of Relelative Smooth(SoR), Reletive Smooth of Smooth(RoS), and Relative Smooth of Relative Smooth (RoR) compositions.

For any question or comment, please contact Yin Liu at liu.6630@osu.edu.

Content

.
├── Algorithms.py	        // algorithms of  SoR, RoR, RoS-VR, SCSC, NASA
├── SoR_experiment.py     // code for solving risk-averse problem(SoR) 
├── SoR_plot.ipynb	      // code for figures 
├── RoS_experiment.py     // code for solving policy evaluation problem(RoS)
└── RoS_plot.ipynb	      // code for figures

Requirement

The package CVXPY is required to solve the subproblem of the RoS composition.

multiprocessing package is used in the experiment, it can be replaced by changing the pool.imap() to for loop