Last-iterate convergence rates for min-max optimization
Abstract
While classic work in convex-concave min-max optimization relies on average-iterate convergence results, the emergence of nonconvex applications such as training Generative Adversarial Networks has led to renewed interest in last-iterate convergence guarantees. Proving last-iterate convergence is challenging because many natural algorithms, such as Simultaneous Gradient Descent/Ascent, provably diverge or cycle even in simple convex-concave min-max settings, and previous work on global last-iterate convergence rates has been limited to the bilinear and convex-strongly concave settings. In this work, we show that the Hamiltonian Gradient Descent (HGD) algorithm achieves linear convergence in a variety of more general settings, including convex-concave problems that satisfy a "sufficiently bilinear" condition. We also prove similar convergence rates for the Consensus Optimization (CO) algorithm of [MNG17] for some parameter settings of CO.
Cite
@article{arxiv.1906.02027,
title = {Last-iterate convergence rates for min-max optimization},
author = {Jacob Abernethy and Kevin A. Lai and Andre Wibisono},
journal= {arXiv preprint arXiv:1906.02027},
year = {2019}
}