Title: A stochastic gradient method for trilevel optimization
Primary area: optimization
Keywords: trilevel optimization, stochastic gradient descent, hyperparameter adversarial tuning, bilevel optimization

Abstract: With the success that the field of bilevel optimization has seen in recent years, similar methodologies have started being applied to solving more difficult applications that arise in trilevel optimization. At the helm of these applications are new machine learning formulations that have been proposed in the trilevel context and, as a result, efficient and theoretically sound stochastic methods are required. In this work, we propose the first-ever stochastic gradient descent method for solving unconstrained trilevel optimization problems and provide a convergence theory that covers all forms of inexactness of the trilevel adjoint gradient, such as the inexact solutions of the middle-level and lower-level problems, inexact computation of the trilevel adjoint formula, and noisy estimates of the gradients, Hessians, Jacobians, and tensors of third-order derivatives involved. We also demonstrate the promise of our approach by providing numerical results on both synthetic trilevel problems and trilevel formulations for hyperparameter adversarial tuning.

TL;DR: In this paper, we develop the first stochastic gradient descent method for trilevel optimization problems, complete with rigorous convergence analysis and numerical experiments on a series of synthetic and machine learning problems.