Poster
The First Optimal Algorithm for Smooth and Strongly-Convex-Strongly-Concave Minimax Optimization
Dmitry Kovalev · Alexander Gasnikov
Hall J (level 1) #820
Keywords: [ saddle point problems ] [ minimax optimization ] [ Convex Optimization ] [ optimal algorithms ]
Abstract:
In this paper, we revisit the smooth and strongly-convex-strongly-concave minimax optimization problem. Zhang et al. (2021) and Ibrahim et al. (2020) established the lower bound on the number of gradient evaluations required to find an ϵ-accurate solution, where κx and κy are condition numbers for the strong convexity and strong concavity assumptions. However, the existing state-of-the-art methods do not match this lower bound: algorithms of Lin et al. (2020) and Wang and Li (2020) have gradient evaluation complexity and , respectively. We fix this fundamental issue by providing the first algorithm with gradient evaluation complexity. We design our algorithm in three steps: (i) we reformulate the original problem as a minimization problem via the pointwise conjugate function; (ii) we apply a specific variant of the proximal point algorithm to the reformulated problem; (iii) we compute the proximal operator inexactly using the optimal algorithm for operator norm reduction in monotone inclusions.
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