Optimal Stochastic Bilevel Optimization with First-Order Oracles
Linxuan Pan, Junchi Yang
Abstract
We study nonconvex--strongly-convex bilevel optimization under a stochastic first-order oracle. We introduce MRT-FD, a single-loop first-order method that simultaneously tracks the upper-level variable, the lower-level solution, and the auxiliary response arising from implicit differentiation of the hyperobjective. MRT-FD performs one update of each variable per iteration and approximates the second-order derivative actions using order-$p$ finite differences. For any fixed finite smoothness order $p\ge1$ in the lower-level variable, MRT-FD finds an $\varepsilon$-stationary point using $\mathcal{O}(\varepsilon^{-4-2/p})$ stochastic gradient queries. We also prove a matching $Ω(\varepsilon^{-4-2/p})$ oracle lower bound. The lower-bound construction starts from a hard nonconvex minimization chain with a stronger stochastic oracle, and lifts it to a bilevel problem through a sinusoidal coupling with a scalar lower-level variable. Consequently, the dependence on $\varepsilon$ is optimal for every fixed finite $p$, closing the upper--lower complexity gap in this stochastic first-order oracle setting.