论文标题

打破一类Minimax问题的$ O(1/ε)$最佳速率

Breaking the $O(1/ε)$ Optimal Rate for a Class of Minimax Problems

论文作者

Song, Chaobing, Jiang, Yong, Ma, Yi

论文摘要

众所周知,对于凸优化$ \ min _ {\ Mathbf {w} \ in \ Mathcal {w}} f(\ Mathbf {w})$,一阶加速方法的最佳速率是$ O(1/\sqrtε)$。但是,对于双线性最小值问题:$ \ min _ {\ mathbf {w} \ in \ Mathcal {w}}} \ max _ {\ MATHBF {\ MATHBF {V} \ in \ MATHCAL {V}}}} $ $ f( \ boldsymbol {a} \ Mathbf {v} \ rangle $ $ -H(\ MathBf {V})$,其中$ f(\ Mathbf {w})$和$ h(\ Mathbf {v})$是凸的,是最佳的首订订单方法的率,是最佳的首订订单率。尚不清楚是否可以在不假定$ f(\ mathbf {w})$和$ h(\ mathbf {v})$的情况下实现双线性minimax问题的加速率$ o(1/\sqrtε)$。在本文中,我们通过提出双线性加速外(BAXG)方法来填补这一理论差距。我们表明,当$ \ Mathcal {w} = \ Mathbb {r}^d $,$ f(\ Mathbf {w})$和$ h(\ Mathbf {v})$是凸的,且$ \ boldsymbol {a} $具有完整的列排名\ frac {1}ε)$,在对数因子内,可能是最佳速率$ o(1/\sqrtε)$。结果,可以比以前已知的方法快得多地解决一大批双线性凸凹面最小问题,包括一些实际重要性问题。

It is known that for convex optimization $\min_{\mathbf{w}\in\mathcal{W}}f(\mathbf{w})$, the best possible rate of first order accelerated methods is $O(1/\sqrtε)$. However, for the bilinear minimax problem: $\min_{\mathbf{w}\in\mathcal{W}}\max_{\mathbf{v}\in\mathcal{V}}$ $f(\mathbf{w})$ $+\langle\mathbf{w}, \boldsymbol{A}\mathbf{v}\rangle$ $-h(\mathbf{v})$ where both $f(\mathbf{w})$ and $h(\mathbf{v})$ are convex, the best known rate of first order methods slows down to $O(1/ε)$. It is not known whether one can achieve the accelerated rate $O(1/\sqrtε)$ for the bilinear minimax problem without assuming $f(\mathbf{w})$ and $h(\mathbf{v})$ being strongly convex. In this paper, we fill this theoretical gap by proposing a bilinear accelerated extragradient (BAXG) method. We show that when $\mathcal{W}=\mathbb{R}^d$, $f(\mathbf{w})$ and $h(\mathbf{v})$ are convex and smooth, and $\boldsymbol{A}$ has full column rank, then the BAXG method achieves an accelerated rate $O(1/\sqrtε\log \frac{1}ε)$, within a logarithmic factor to the likely optimal rate $O(1/\sqrtε)$. As result, a large class of bilinear convex concave minimax problems, including a few problems of practical importance, can be solved much faster than previously known methods.

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