Optimal Epoch Stochastic Gradient Descent Ascent Methods for Min-Max Optimization

• URL: http://arxiv.org/abs/2002.05309v2
• Date: Wed, 17 Jun 2020 09:02:49 GMT
• Title: Optimal Epoch Stochastic Gradient Descent Ascent Methods for Min-Max Optimization
• Authors: Yan Yan and Yi Xu and Qihang Lin and Wei Liu and Tianbao Yang
• Abstract summary: Epoch gradient descent method (a.k.a. Epoch-GD) proposed by Hazan and Kale (2011) was deemed a breakthrough for strongly convex minimization. Our result is the first one that shows Epoch-GDA can achieve the optimal rate of $O (1/T)$ for the duality gap of SCSC min-max problems.
• Score: 61.66927778694731
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Epoch gradient descent method (a.k.a. Epoch-GD) proposed by Hazan and Kale (2011) was deemed a breakthrough for stochastic strongly convex minimization, which achieves the optimal convergence rate of $O(1/T)$ with $T$ iterative updates for the {\it objective gap}. However, its extension to solving stochastic min-max problems with strong convexity and strong concavity still remains open, and it is still unclear whether a fast rate of $O(1/T)$ for the {\it duality gap} is achievable for stochastic min-max optimization under strong convexity and strong concavity. Although some recent studies have proposed stochastic algorithms with fast convergence rates for min-max problems, they require additional assumptions about the problem, e.g., smoothness, bi-linear structure, etc. In this paper, we bridge this gap by providing a sharp analysis of epoch-wise stochastic gradient descent ascent method (referred to as Epoch-GDA) for solving strongly convex strongly concave (SCSC) min-max problems, without imposing any additional assumption about smoothness or the function's structure. To the best of our knowledge, our result is the first one that shows Epoch-GDA can achieve the optimal rate of $O(1/T)$ for the duality gap of general SCSC min-max problems. We emphasize that such generalization of Epoch-GD for strongly convex minimization problems to Epoch-GDA for SCSC min-max problems is non-trivial and requires novel technical analysis. Moreover, we notice that the key lemma can also be used for proving the convergence of Epoch-GDA for weakly-convex strongly-concave min-max problems, leading to a nearly optimal complexity without resorting to smoothness or other structural conditions.

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