On the Convergence of Stochastic Extragradient for Bilinear Games with Restarted Iteration Averaging

• URL: http://arxiv.org/abs/2107.00464v1
• Date: Wed, 30 Jun 2021 17:51:36 GMT
• Title: On the Convergence of Stochastic Extragradient for Bilinear Games with Restarted Iteration Averaging
• Authors: Chris Junchi Li, Yaodong Yu, Nicolas Loizou, Gauthier Gidel, Yi Ma, Nicolas Le Roux, Michael I. Jordan
• Abstract summary: We present an analysis of the ExtraGradient (SEG) method with constant step size, and present variations of the method that yield favorable convergence. We prove that when augmented with averaging, SEG provably converges to the Nash equilibrium, and such a rate is provably accelerated by incorporating a scheduled restarting procedure.
• Score: 96.13485146617322
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: We study the stochastic bilinear minimax optimization problem, presenting an analysis of the Stochastic ExtraGradient (SEG) method with constant step size, and presenting variations of the method that yield favorable convergence. We first note that the last iterate of the basic SEG method only contracts to a fixed neighborhood of the Nash equilibrium, independent of the step size. This contrasts sharply with the standard setting of minimization where standard stochastic algorithms converge to a neighborhood that vanishes in proportion to the square-root (constant) step size. Under the same setting, however, we prove that when augmented with iteration averaging, SEG provably converges to the Nash equilibrium, and such a rate is provably accelerated by incorporating a scheduled restarting procedure. In the interpolation setting, we achieve an optimal convergence rate up to tight constants. We present numerical experiments that validate our theoretical findings and demonstrate the effectiveness of the SEG method when equipped with iteration averaging and restarting.

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