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conference paper

A Catalyst Framework for Minimax Optimization

Yang, Junchi
•
Zhang, Siqi
•
Kiyavash, Negar  
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January 1, 2020
Advances In Neural Information Processing Systems (Neurips 2020)
34th Conference on Neural Information Processing Systems (NeurIPS)

We introduce a generic two-loop scheme for smooth minimax optimization with strongly-convex-concave objectives. Our approach applies the accelerated proximal point framework (or Catalyst) to the associated dual problem and takes full advantage of existing gradient-based algorithms to solve a sequence of well-balanced strongly-convex-strongly-concave minimax problems. Despite its simplicity, this leads to a family of near-optimal algorithms with improved complexity over all existing methods designed for strongly-convex-concave minimax problems. Additionally, we obtain the first variance-reduced algorithms for this class of minimax problems with finite-sum structure and establish faster convergence rate than batch algorithms. Furthermore, when extended to the nonconvex-concave minimax optimization, our algorithm again achieves the state-of-the-art complexity for finding a stationary point. We carry out several numerical experiments showcasing the superiority of the Catalyst framework in practice.

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NeurIPS-2020-a-catalyst-framework-for-minimax-optimization-Supplemental.pdf

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