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Register a new userEfficient Search of First-Order Nash Equilibria in Nonconvex-Concave Smooth Min-Max Problems
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We propose an efficient algorithm for finding first-order Nash equilibria in min-max problems of the form $min_{x in X}max_{yin Y} F(x,y)$, where the objective function is smooth in both variables and concave with respect to $y$; the sets $X$ and $Y$ are convex and projection-friendly, and $Y$ is compact. Our goal is to find an $(varepsilon_x,varepsilon_y)$-first-order Nash equilibrium with respect to a stationarity criterion that is stronger than the commonly used proximal gradient norm. The proposed approach is fairly simple: we perform approximate proximal-point iterations on the primal function, with inexact oracle provided by Nesterovs algorithm run on the regularized function $F(x_t,cdot)$, $x_t$ being the current primal iterate. The resulting iteration complexity is $O(varepsilon_x{}^{-2} varepsilon_y{}^{-1/2})$ up to a logarithmic factor. As a byproduct, the choice $varepsilon_y = O(varepsilon_x{}^2)$ allows for the $O(varepsilon_x{}^{-3})$ complexity of finding an $varepsilon_x$-stationary point for the standard Moreau envelope of the primal function. Moreover, when the objective is strongly concave with respect to $y$, the complexity estimate for our algorithm improves to $O(varepsilon_x{}^{-2}{kappa_y}^{1/2})$ up to a logarithmic factor, where $kappa_y$ is the condition number appropriately adjusted for coupling. In both scenarios, the complexity estimates are the best known so far, and are only known for the (weaker) proximal gradient norm criterion. Meanwhile, our approach is user-friendly: (i) the algorithm is built upon running a variant of Nesterovs accelerated algorithm as subroutine and avoids extragradient steps; (ii) the convergence analysis recycles the well-known results on accelerated methods with inexact oracle. Finally, we extend the approach to non-Euclidean proximal geometries.
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We provide a first-order oracle complexity lower bound for finding stationary points of min-max optimization problems where the objective function is smooth, nonconvex in the minimization variable, and strongly concave in the maximization variable. We establish a lower bound of $Omegaleft(sqrt{kappa}epsilon^{-2}right)$ for deterministic oracles, where $epsilon$ defines the level of approximate stationarity and $kappa$ is the condition number. Our analysis shows that the upper bound achieved in (Lin et al., 2020b) is optimal in the $epsilon$ and $kappa$ dependence up to logarithmic factors. For stochastic oracles, we provide a lower bound of $Omegaleft(sqrt{kappa}epsilon^{-2} + kappa^{1/3}epsilon^{-4}right)$. It suggests that there is a significant gap between the upper bound $mathcal{O}(kappa^3 epsilon^{-4})$ in (Lin et al., 2020a) and our lower bound in the condition number dependence.
This paper focuses on stochastic methods for solving smooth non-convex strongly-concave min-max problems, which have received increasing attention due to their potential applications in deep learning (e.g., deep AUC maximization). However, most of the existing algorithms are slow in practice, and their analysis revolves around the convergence to a nearly stationary point. We consider leveraging the Polyak-L ojasiewicz (PL) condition to design faster stochastic algorithms with stronger convergence guarantee. Although PL condition has been utilized for designing many stochastic minimization algorithms, their applications for non-convex min-max optimization remains rare. In this paper, we propose and analyze proximal epoch-based methods, and establish fast convergence in terms of both {bf the primal objective gap and the duality gap}. Our analysis is interesting in threefold: (i) it is based on a novel Lyapunov function that consists of the primal objective gap and the duality gap of a regularized function; (ii) it only requires a weaker PL condition for establishing the primal objective convergence than that required for the duality gap convergence; (iii) it yields the optimal dependence on the accuracy level $epsilon$, i.e., $O(1/epsilon)$. We also make explicit the dependence on the problem parameters and explore regions of weak convexity parameter that lead to improved dependence on condition numbers. Experiments on deep AUC maximization demonstrate the effectiveness of our methods. Our method (MaxAUC) achieved an AUC of 0.922 on private testing set on {bf CheXpert competition}.
This paper shows the existence of $mathcal{O}(frac{1}{n^gamma})$-Nash equilibria in $n$-player noncooperative aggregative games where the players cost functions depend only on their own action and the average of all the players actions, and is lower semicontinuous in the former while $gamma$-H{o}lder continuous in the latter. Neither the action sets nor the cost functions need to be convex. For an important class of aggregative games which includes congestion games with $gamma$ being 1, a proximal best-reply algorithm is used to construct an $mathcal{O}(frac{1}{n})$-Nash equilibria with at most $mathcal{O}(n^3)$ iterations. These results are applied in a numerical example of demand-side management of the electricity system. The asymptotic performance of the algorithm is illustrated when $n$ tends to infinity.
Recent applications in machine learning have renewed the interest of the community in min-max optimization problems. While gradient-based optimization methods are widely used to solve such problems, there are however many scenarios where these techniques are not well-suited, or even not applicable when the gradient is not accessible. We investigate the use of direct-search methods that belong to a class of derivative-free techniques that only access the objective function through an oracle. In this work, we design a novel algorithm in the context of min-max saddle point games where one sequentially updates the min and the max player. We prove convergence of this algorithm under mild assumptions, where the objective of the max-player satisfies the Polyak-L{}ojasiewicz (PL) condition, while the min-player is characterized by a nonconvex objective. Our method only assumes dynamically adjusted accurate estimates of the oracle with a fixed probability. To the best of our knowledge, our analysis is the first one to address the convergence of a direct-search method for min-max objectives in a stochastic setting.
We provide improved convergence rates for constrained convex-concave min-max problems and monotone variational inequalities with higher-order smoothness. In min-max settings where the $p^{th}$-order derivatives are Lipschitz continuous, we give an algorithm HigherOrderMirrorProx that achieves an iteration complexity of $O(1/T^{frac{p+1}{2}})$ when given access to an oracle for finding a fixed point of a $p^{th}$-order equation. We give analogous rates for the weak monotone variational inequality problem. For $p>2$, our results improve upon the iteration complexity of the first-order Mirror Prox method of Nemirovski [2004] and the second-order method of Monteiro and Svaiter [2012]. We further instantiate our entire algorithm in the unconstrained $p=2$ case.
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