2022/10/06 by Yang Cai, Weiqiang Zheng, Cai, Yang +1 · 4 citations
Computer Science · Engineering · Mathematics · #Advanced Optimization Algorithms Research #Computer Science and Game Theory (cs.GT) #FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (cs.LG) #Optimization and Control (math.OC) #Sparse and Compressive Sensing Techniques #Stochastic Gradient Optimization Techniques
paper · pdf · doi:10.48550/arxiv.2210.03096
openalex publication_date 2022/10/06 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We study first-order methods for constrained min-max optimization. Existing methods either require two gradient calls or two projections in each iteration, which may be costly in some applications. In this paper, we first show that a variant of the Optimistic Gradient (OG) method, a single-call single-projection algorithm, has O((1)/(√(T))) best-iterate convergence rate for inclusion problems with operators that satisfy the weak Minty variation inequality (MVI). Our second result is the first single-call single-projection algorithm -- the Accelerated Reflected Gradient (ARG) method that achieves the optimal O((1)/(T)) last-iterate convergence rate for inclusion problems that satisfy negative comonotonicity. Both the weak MVI and negative comonotonicity are well-studied assumptions and capture a rich set of non-convex non-concave min-max optimization problems. Finally, we show that the Reflected Gradient (RG) method, another single-call single-projection algorithm, has O((1)/(√(T))) last-iterate convergence rate for constrained convex-concave min-max optimization, answering an open problem of [Heish et al, 2019]. Our convergence rates hold for standard measures such as the tangent residual and the natural residual.