  In this paper, we study the stochastic gradient descent (SGD) method for the
nonconvex nonsmooth optimization, and propose an accelerated SGD method by
combining the variance reduction technique with Nesterov's extrapolation
technique. Moreover, based on the local error bound condition, we establish the
linear convergence of our method to obtain a stationary point of the nonconvex
optimization. In particular, we prove that not only the sequence generated
linearly converges to a stationary point of the problem, but also the
corresponding sequence of objective values is linearly convergent. Finally,
some numerical experiments demonstrate the effectiveness of our method. To the
best of our knowledge, it is first proved that the accelerated SGD method
converges linearly to the local minimum of the nonconvex optimization.
