2021 ICML ICML 2021

Accelerated Algorithms for Smooth Convex-Concave Minimax Problems with O(1/k^2) Rate on Squared Gradient Norm

Abstract

In this work, we study the computational complexity of reducing the squared gradient magnitude for smooth minimax optimization problems. First, we present algorithms with accelerated $\mathcal{O}(1/k^2)$ last-iterate rates, faster than the existing $\mathcal{O}(1/k)$ or slower rates for extragradient, Popov, and gradient descent with anchoring. The acceleration mechanism combines extragradient steps with anchoring and is distinct from Nesterov’s acceleration. We then establish optimality of the $\mathcal{O}(1/k^2)$ rate through a matching lower bound.

🌉 Interdisciplinary Bridge — Machine Learning and Mathematics & Optimization
🐝 Cross-Pollinator — Artificial Intelligence, Computer Science, Computer Vision, Data Science & Analytics, Deep Learning, Healthcare & Medicine, Interdisciplinary, Knowledge & Reasoning, Machine Learning, Mathematics & Optimization, Natural Language Processing, Reinforcement Learning, Robotics, Security & Privacy, Speech & Audio