Paper:
Stochastic Three-Composite Convex Minimization
We propose a stochastic optimization method for the minimization of the sum of three convex functions, one of which has Lipschitz continuous gradient as well as restricted strong convexity. Our approach is most suitable in the setting where it is computationally advantageous to process smooth term in the decomposition with its stochastic gradient estimate and the other two functions separately with their proximal operators, such as doubly regularized empirical risk minimization problems. We prove the convergence characterization of the proposed algorithm in expectation under the standard assumptions for the stochastic gradient estimate of the smooth term. Our method operates in the primal space and can be considered as a stochastic extension of the three-operator splitting method. Numerical evidence supports the effectiveness of our method in real-world problems.

Review:
In this paper the authors proposed a stochastic optimization algorithm, STCM, for a three composite  convex minimization problems. This problem can be write the sum of two proper, lower semicontinuous convex  functions and a smooth function with restricted strong convexity. This work is based on the deterministic three operator splitting method proposed by Davis and Yin. The author(s). The almost surely convergence and a convergence rate are established.  Major comments:  (1) The main result is quite clear, but lacks the support in details for important aspects. For example, it would be better to show some intuition of the proposed algorithm. If it is an directly extension of Davis and Yin’s work by changing the gradient into the stochastic gradient, authors should point out it. I would like to suggest authors to show more insights and intuition behind of the proposed algorithm, since you have enough space. The proof looks quite rush. Many derivation details are omitted. It is hard to check the correctness in proofs, although the results sound correct.  (2) In the Numerical experiments section, some basic algorithms should be included for comparison, e.g., Wang et al., Random Multi-Constraint Projection: Stochastic Gradient Methods for Convex Optimization with Many Constraints, 2015.  (3) It is important to compare the convergence rates with some other stochastic gradient based method. Basically, we want to know how tight it is? For example, is it consistent the standard SGD, accelerated SGD, and the method above. Otherwise, it is difficult to evaluate the theoretical merit of this work.   Minor comments:  (1) There are lots of typos in this paper, e.g., equation (4), the citation in line 136, line 72, line 95, line 285.  (2) In line 2 of equation (10), the grad(x_g,n - x*) should be (grad(x_g,n) - grad(x*)) instead.  (3) $\mu$ strong convex => $\mu$ strongly convex. 
Major comments:  (1) The main result is quite clear, but lacks the support in details for important aspects. For example, it would be better to show some intuition of the proposed algorithm. If it is an directly extension of Davis and Yin’s work by changing the gradient into the stochastic gradient, authors should point out it. I would like to suggest authors to show more insights and intuition behind of the proposed algorithm, since you have enough space. The proof looks quite rush. Many derivation details are omitted. It is hard to check the correctness in proofs, although the results sound correct.  (2) In the Numerical experiments section, some basic algorithms should be included for comparison, e.g., Wang et al., Random Multi-Constraint Projection: Stochastic Gradient Methods for Convex Optimization with Many Constraints, 2015.  (3) It is important to compare the convergence rates with some other stochastic gradient based method. Basically, we want to know how tight it is? For example, is it consistent the standard SGD, accelerated SGD, and the method above. Otherwise, it is difficult to evaluate the theoretical merit of this work.