Classical stochastic gradient methods are well suited for minimizing expected-value objective functions. However, they do not apply to the minimization of a nonlinear function involving expected values or a composition of two expected-value functions
, i.e., problems of the form $min_x mathbf{E}_v [f_vbig(mathbf{E}_w [g_w(x)]big)]$. In order to solve this stochastic composition problem, we propose a class of stochastic compositional gradient descent (SCGD) algorithms that can be viewed as stochast
