Higher-order methods for convex-concave min-max optimization and monotone variational inequalities
Optimization and Control
2020-07-10 v1 Machine Learning
Machine Learning
Abstract
We provide improved convergence rates for constrained convex-concave min-max problems and monotone variational inequalities with higher-order smoothness. In min-max settings where the -order derivatives are Lipschitz continuous, we give an algorithm HigherOrderMirrorProx that achieves an iteration complexity of when given access to an oracle for finding a fixed point of a -order equation. We give analogous rates for the weak monotone variational inequality problem. For , our results improve upon the iteration complexity of the first-order Mirror Prox method of Nemirovski [2004] and the second-order method of Monteiro and Svaiter [2012]. We further instantiate our entire algorithm in the unconstrained case.
Cite
@article{arxiv.2007.04528,
title = {Higher-order methods for convex-concave min-max optimization and monotone variational inequalities},
author = {Brian Bullins and Kevin A. Lai},
journal= {arXiv preprint arXiv:2007.04528},
year = {2020}
}