Extending the Reach of First-Order Algorithms for Nonconvex Min-Max Problems with Cohypomonotonicity
CoRR(2024)
摘要
We focus on constrained, L-smooth, nonconvex-nonconcave min-max problems
either satisfying ρ-cohypomonotonicity or admitting a solution to the
ρ-weakly Minty Variational Inequality (MVI), where larger values of the
parameter ρ>0 correspond to a greater degree of nonconvexity. These
problem classes include examples in two player reinforcement learning,
interaction dominant min-max problems, and certain synthetic test problems on
which classical min-max algorithms fail. It has been conjectured that
first-order methods can tolerate value of ρ no larger than 1/L,
but existing results in the literature have stagnated at the tighter
requirement ρ < 1/2L. With a simple argument, we obtain optimal or
best-known complexity guarantees with cohypomonotonicity or weak MVI conditions
for ρ < 1/L. The algorithms we analyze are inexact variants of
Halpern and Krasnosel'skiĭ-Mann (KM) iterations. We also provide
algorithms and complexity guarantees in the stochastic case with the same range
on ρ. Our main insight for the improvements in the convergence analyses is
to harness the recently proposed "conic nonexpansiveness" property of
operators. As byproducts, we provide a refined analysis for inexact Halpern
iteration and propose a stochastic KM iteration with a multilevel Monte Carlo
estimator.
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