Generalized Optimistic Methods for Convex-Concave Saddle Point Problems
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The optimistic gradient method has seen increasing popularity as an efficient first-order method for solving convex-concave saddle point problems. To analyze its iteration complexity, a recent work [arXiv:1901.08511] proposed an interesting perspective that interprets the optimistic gradient method as an approximation to the proximal point method. In this paper, we follow this approach and distill the underlying idea of optimism to propose a generalized optimistic method, which encompasses the optimistic gradient method as a special case. Our general framework can handle constrained saddle point problems with composite objective functions and can work with arbitrary norms with compatible Bregman distances. Moreover, we also develop an adaptive line search scheme to select the stepsizes without knowledge of the smoothness coefficients. We instantiate our method with first-order, second-order and higher-order oracles and give sharp global iteration complexity bounds. When the objective function is convex-concave, we show that the averaged iterates of our p-th-order method (p≥ 1) converge at a rate of 𝒪(1/N^p+1/2). When the objective function is further strongly-convex-strongly-concave, we prove a complexity bound of 𝒪(L_1/μlog1/ϵ) for our first-order method and a bound of 𝒪((L_p D^p-1/2/μ)^2/p+1+loglog1/ϵ) for our p-th-order method (p≥ 2) respectively, where L_p (p≥ 1) is the Lipschitz constant of the p-th-order derivative, μ is the strongly-convex parameter, and D is the initial Bregman distance to the saddle point. Moreover, our line search scheme provably only requires an almost constant number of calls to a subproblem solver per iteration on average, making our first-order and second-order methods particularly amenable to implementation.
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