Variance Reduction Note 3: The Convergence of PAGE

Abstract

The probabilistic gradient estimator (PAGE) alternates randomly between an accurate gradient refresh and a cheap recursive correction. This third expository note on recursive variance reduction explains the algorithm and gives a self-contained convergence proof for smooth nonconvex optimization. A Lyapunov function combines objective decrease with estimation error, turning the refresh probability into an explicit contraction parameter. The resulting expected oracle complexity is $O(n+\sqrt n\,ε^{-2})$ for finite sums and $O(ε^{-3})$ for online problems, with the other problem parameters fixed. Initialization, refreshes, and both evaluations in each gradient difference are counted. The presentation is pedagogical and makes no claim of a new algorithm or convergence rate.