Zhaosong Lu, Sanyou Mei, Yifeng Xiao
In this paper, we study a class of deterministically constrained stochastic optimization problems. Existing methods typically aim to find an $ε$-stochastic stationary point, where the expected violations of both constraints and first-order stationarity are within a prescribed accuracy $ε$. However, in many practical applications, it is crucial that the constraints be nearly satisfied with certainty, making such an $ε$-stochastic stationary point potentially undesirable due to the risk of significant constraint violations. To address this issue, we propose single-loop variance-reduced stochastic first-order methods, where the stochastic gradient of the stochastic component is computed using either a truncated recursive momentum scheme or a truncated Polyak momentum scheme for variance reduction, while the gradient of the deterministic component is computed exactly. Under the error bound condition with a parameter $θ\geq 1$ and other suitable assumptions, we establish that these methods respectively achieve a sample and first-order operation complexity of $\widetilde O(ε^{-\max\{θ+2, 2θ\}})$ and $\widetilde O(ε^{-\max\{4, 2θ\}})$ for finding a stronger $ε$-stochastic stationary point, where the constraint violation is within $ε$ with certainty, and the expected violation of first-order stationarity is within $ε$. For $θ=1$, these complexities reduce to $\widetilde O(ε^{-3})$ and $\widetilde O(ε^{-4})$ respectively, which match, up to a logarithmic factor, the best-known complexities achieved by existing methods for finding an $ε$-stochastic stationary point of unconstrained smooth stochastic optimization problems.