English

Last-iterate convergence rates for min-max optimization

Optimization and Control 2019-10-29 v3 Computer Science and Game Theory Machine Learning Machine Learning

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.

Keywords

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}
}
R2 v1 2026-06-23T09:43:19.977Z