In this article, we study the convergence of Mirror Descent (MD) and Optimistic Mirror Descent (OMD) for saddle point problems satisfying the notion of coherence as proposed in Mertikopoulos et al. We prove convergence of OMD with exact gradients for coherent saddle point problems, and show that monotone convergence only occurs after some sufficiently large number of iterations. This is in contrast to the claim in Mertikopoulos et al. of monotone convergence of OMD with exact gradients for coherent saddle point problems. Besides highlighting this important subtlety, we note that the almost sure convergence guarantees of MD and OMD with stochastic gradients for strictly coherent saddle point problems that are claimed in Mertikopoulos et al. are not fully justified by their proof. As such, we fill out the missing details in the proof and as a result have only been able to prove convergence with high probability.
We would like to note that our analysis relies heavily on the core ideas and proof techniques introduced in Zhou et al. and Mertikopoulos et al., and we only aim to re-state and correct the results in light of what we were able to prove rigorously while filling in the much needed missing details in their proofs.
In this paper we consider solving saddle point problems using two variants of Gradient Descent-Ascent algorithms, Extra-gradient (EG) and Optimistic Gradient Descent Ascent (OGDA) methods. We show that both of these algorithms admit a unified analysis as approximations of the classical proximal point method for solving saddle point problems. This viewpoint enables us to develop a new framework for analyzing EG and OGDA for bilinear and strongly convex-strongly concave settings. Moreover, we use the proximal point approximation interpretation to generalize the results for OGDA for a wide range …
Department of Electrical and Computer Engineering, University of Texas at Austin（德克萨斯大学奥斯汀分校电气与计算机工程系）；Department of Electrical Engineering and Computer Science, Massachusetts Institute of Technology（麻省理工学院电气工程与计算机科学系）
We study the iteration complexity of the optimistic gradient descent-ascent (OGDA) method and the extra-gradient (EG) method for finding a saddle point of a convex-concave unconstrained min-max problem. To do so, we first show that both OGDA and EG can be interpreted as approximate variants of the proximal point method. This is similar to the approach taken in [Nemirovski, 2004] which analyzes EG as an approximation of the `conceptual mirror prox'. In this paper, we highlight how gradients used in OGDA and EG try to approximate the gradient of the Proximal Point method. We then exploit this in…
Univ. Grenoble Alpes（格勒诺布尔阿尔卑斯大学）；CNRS（法国国家科学研究中心）；Inria（法国国家信息与自动化研究所）；Institute for Infocomm Research, A*STAR（新加坡科技研究局资讯通信研究院）；Nanyang Technological University（南洋理工大学）；Singapore University of Technology and Design（新加坡科技设计大学）
Owing to their connection with generative adversarial networks (GANs), saddle-point problems have recently attracted considerable interest in machine learning and beyond. By necessity, most theoretical guarantees revolve around convex-concave (or even linear) problems; however, making theoretical inroads towards efficient GAN training depends crucially on moving beyond this classic framework. To make piecemeal progress along these lines, we analyze the behavior of mirror descent (MD) in a class of non-monotone problems whose solutions coincide with those of a naturally associated variational i…
We study the problem of convergence to a stationary point in zero-sum games. We propose competitive gradient optimization (CGO ), a gradient-based method that incorporates the interactions between the two players in zero-sum games for optimization updates. We provide continuous-time analysis of CGO and its convergence properties while showing that in the continuous limit, CGO predecessors degenerate to their gradient descent ascent (GDA) variants. We provide a rate of convergence to stationary points and further propose a generalized class of $α$-coherent function for which we provide converge…
In this work, we introduce two algorithmic frameworks, named Bregman extragradient method and Bregman extrapolation method, for solving saddle point problems. The proposed frameworks not only include the well-known extragradient and optimistic gradient methods as special cases, but also generate new variants such as sparse extragradient and extrapolation methods. With the help of the recent concept of relative Lipschitzness and some Bregman distance related tools, we are able to show certain upper bounds in terms of Bregman distances for gap-type measures. Further, we use those bounds to deduc…
The monotone variational inequality is a central problem in mathematical programming that unifies and generalizes many important settings such as smooth convex optimization, two-player zero-sum games, convex-concave saddle point problems, etc. The extragradient algorithm by Korpelevich [1976] and the optimistic gradient descent-ascent algorithm by Popov [1980] are arguably the two most classical and popular methods for solving monotone variational inequalities. Despite their long histories, the following major problem remains open. What is the last-iterate convergence rate of the extragradient…
In this work we aim to solve a convex-concave saddle point problem, where the convex-concave coupling function is smooth in one variable and nonsmooth in the other and not assumed to be linear in either. The problem is augmented by a nonsmooth regulariser in the smooth component. We propose and investigate a novel algorithm under the name of OGAProx, consisting of an optimistic gradient ascent step in the smooth variable coupled with a proximal step of the regulariser, and which is alternated with a {proximal step} in the nonsmooth component of the coupling function. We consider the situations…
We study the convergence of Optimistic Gradient Descent Ascent in unconstrained bilinear games. In a first part, we consider the zero-sum case and extend previous results by Daskalakis et al. in 2018, Liang and Stokes in 2019, and others: we prove, for any payoff matrix, the exponential convergence of OGDA to a saddle point and also provide a new, optimal, geometric ratio for the convergence. We also characterize the step sizes inducing convergence, and are able to deduce the optimal step size for the speed of convergence. In a second part, we introduce OGDA for general-sum bilinear games: we …
EXOTIC: An Exact, Optimistic, Tree-Based Algorithm for Min-Max Optimization
Department of Electrical and Computer Engineering, and Data Science and AI Institute at Johns Hopkins University（约翰霍普金斯大学电气与计算机工程系及数据科学与人工智能研究院）；Institute for Computational and Mathematical Engineering at Stanford University（斯坦福大学计算与数学工程研究所）；Center for Systems and Control, IIT Bombay（印度理工学院班加罗尔系统与控制中心）
Last-Iterate Convergence of Single-Loop Stochastic Methods for Constrained Convex-Concave Minimax Problems
RIKEN AIP（理化学研究所先进智能计算中心）；Sauder School of Business, University of British Columbia（不列颠哥伦比亚大学 Sauder 商学院）；Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong（香港中文大学系统工程与工程管理系）
