The limits of min-max optimization algorithms: convergence to spurious non-critical sets

• URL: http://arxiv.org/abs/2006.09065v2
• Date: Sun, 14 Feb 2021 21:54:24 GMT
• Title: The limits of min-max optimization algorithms: convergence to spurious non-critical sets
• Authors: Ya-Ping Hsieh, Panayotis Mertikopoulos, Volkan Cevher
• Abstract summary: min-max optimization algorithms encounter problems far greater because of the existence of periodic cycles and similar phenomena. We show that there exist algorithms that do not attract any points of the problem. We illustrate such challenges in simple to almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost almost
• Score: 82.74514886461257
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Compared to ordinary function minimization problems, min-max optimization algorithms encounter far greater challenges because of the existence of periodic cycles and similar phenomena. Even though some of these behaviors can be overcome in the convex-concave regime, the general case is considerably more difficult. On that account, we take an in-depth look at a comprehensive class of state-of-the art algorithms and prevalent heuristics in non-convex / non-concave problems, and we establish the following general results: a) generically, the algorithms' limit points are contained in the ICT sets of a common, mean-field system; b) the attractors of this system also attract the algorithms in question with arbitrarily high probability; and c) all algorithms avoid the system's unstable sets with probability 1. On the surface, this provides a highly optimistic outlook for min-max algorithms; however, we show that there exist spurious attractors that do not contain any stationary points of the problem under study. In this regard, our work suggests that existing min-max algorithms may be subject to inescapable convergence failures. We complement our theoretical analysis by illustrating such attractors in simple, two-dimensional, almost bilinear problems.

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