A Catalyst Framework for Minimax Optimization

We introduce a generic \emph{two-loop} scheme for smooth minimax optimization with strongly-convex-concave objectives. Our approach applies the accelerated proximal point framework (or Catalyst) to the associated \emph{dual problem} and takes full advantage of existing gradient-based algorithms to solve a sequence of well-balanced strongly-convex-strongly-concave minimax problems. Despite its simplicity, this leads to a family of near-optimal algorithms with improved complexity over all existing methods designed for strongly-convex-concave minimax problems. Additionally, we obtain the first variance-reduced algorithms for this class of minimax problems with finite-sum structure and establish even faster convergence rate. Furthermore, when extended to the nonconvex-concave minimax optimization, our algorithm again achieves the state-of-the-art complexity for finding a stationary point. We carry out several numerical experiments showcasing the superiority of the Catalyst framework in practice.