
arXiv: 2006.02032
Much recent research effort has been directed to the development of efficient algorithms for solving minimax problems with theoretical convergence guarantees due to the relevance of these problems to a few emergent applications. In this paper, we propose a unified single-loop alternating gradient projection (AGP) algorithm for solving smooth nonconvex-(strongly) concave and (strongly) convex-nonconcave minimax problems. AGP employs simple gradient projection steps for updating the primal and dual variables alternatively at each iteration. We show that it can find an $\varepsilon$-stationary point of the objective function in $\mathcal{O}\left( \varepsilon ^{-2} \right)$ (resp. $\mathcal{O}\left( \varepsilon ^{-4} \right)$) iterations under nonconvex-strongly concave (resp. nonconvex-concave) setting. Moreover, its gradient complexity to obtain an $\varepsilon$-stationary point of the objective function is bounded by $\mathcal{O}\left( \varepsilon ^{-2} \right)$ (resp., $\mathcal{O}\left( \varepsilon ^{-4} \right)$) under the strongly convex-nonconcave (resp., convex-nonconcave) setting. To the best of our knowledge, this is the first time that a simple and unified single-loop algorithm is developed for solving both nonconvex-(strongly) concave and (strongly) convex-nonconcave minimax problems. Moreover, the complexity results for solving the latter (strongly) convex-nonconcave minimax problems have never been obtained before in the literature. Numerical results show the efficiency of the proposed AGP algorithm. Furthermore, we extend the AGP algorithm by presenting a block alternating proximal gradient (BAPG) algorithm for solving more general multi-block nonsmooth nonconvex-(strongly) concave and (strongly) convex-nonconcave minimax problems. We can similarly establish the gradient complexity of the proposed algorithm under these four different settings.
FOS: Computer and information sciences, Computer Science - Machine Learning, iteration complexity, Minimax problems in mathematical programming, Nonconvex programming, global optimization, single-loop algorithm, Machine Learning (cs.LG), 90C47, 90C26, 90C30, machine learning, Nonlinear programming, Optimization and Control (math.OC), FOS: Mathematics, minimax optimization problem, alternating gradient projection algorithm, Mathematics - Optimization and Control
FOS: Computer and information sciences, Computer Science - Machine Learning, iteration complexity, Minimax problems in mathematical programming, Nonconvex programming, global optimization, single-loop algorithm, Machine Learning (cs.LG), 90C47, 90C26, 90C30, machine learning, Nonlinear programming, Optimization and Control (math.OC), FOS: Mathematics, minimax optimization problem, alternating gradient projection algorithm, Mathematics - Optimization and Control
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