Poster
Accelerated Primal-Dual Gradient Method for Smooth and Convex-Concave Saddle-Point Problems with Bilinear Coupling
Dmitry Kovalev · Alexander Gasnikov · Peter Richtarik
Hall J (level 1) #825
Keywords: [ minimax optimization ] [ saddle-point problems ] [ Convex Optimization ]
Abstract:
In this paper we study the convex-concave saddle-point problem minxmaxyf(x)+y⊤Ax−g(y), where f(x) and g(y) are smooth and convex functions. We propose an Accelerated Primal-Dual Gradient Method (APDG) for solving this problem, achieving (i) an optimal linear convergence rate in the strongly-convex-strongly-concave regime, matching the lower complexity bound (Zhang et al., 2021), and (ii) an accelerated linear convergence rate in the case when only one of the functions f(x) and g(y) is strongly convex or even none of them are. Finally, we obtain a linearly convergent algorithm for the general smooth and convex-concave saddle point problem minxmaxyF(x,y) without the requirement of strong convexity or strong concavity.
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