Prox-PEP achieves O(T^{-1/4}) expected oracle complexity for epsilon-KKT stationarity in weakly convex stochastic nonlinear programming via proximal steps, exact penalty, and designed quadratic subproblems.
Xu, Primal-dual stochastic gradient method for convex programs with many functional constraints, SIAM Journal on Optimization, 30:2 (2020), 1664–1692
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Prox-PEP: A Proximal Partial Exact Penalty Algorithm for Weakly Convex Stochastic Nonlinear Programming
Prox-PEP achieves O(T^{-1/4}) expected oracle complexity for epsilon-KKT stationarity in weakly convex stochastic nonlinear programming via proximal steps, exact penalty, and designed quadratic subproblems.