{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/clipped-stochastic-methods-for-variational","title":"Clipped Stochastic Methods for Variational Inequalities with Heavy-Tailed Noise","arxiv_id":"2206.01095","date":"2022-06-02","proceeding":null,"authors":["Eduard Gorbunov","Marina Danilova","David Dobre","Pavel Dvurechensky","Alexander Gasnikov","Gauthier Gidel"],"abstract":"Stochastic first-order methods such as Stochastic Extragradient (SEG) or Stochastic Gradient Descent-Ascent (SGDA) for solving smooth minimax problems and, more generally, variational inequality problems (VIP) have been gaining a lot of attention in recent years due to the growing popularity of adversarial formulations in machine learning. However, while high-probability convergence bounds are known to reflect the actual behavior of stochastic methods more accurately, most convergence results are provided in expectation. Moreover, the only known high-probability complexity results have been derived under restrictive sub-Gaussian (light-tailed) noise and bounded domain assumption [Juditsky et al., 2011]. In this work, we prove the first high-probability complexity results with logarithmic dependence on the confidence level for stochastic methods for solving monotone and structured non-monotone VIPs with non-sub-Gaussian (heavy-tailed) noise and unbounded domains. In the monotone case, our results match the best-known ones in the light-tails case [Juditsky et al., 2011], and are novel for structured non-monotone problems such as negative comonotone, quasi-strongly monotone, and/or star-cocoercive ones. We achieve these results by studying SEG and SGDA with clipping. In addition, we numerically validate that the gradient noise of many practical GAN formulations is heavy-tailed and show that clipping improves the performance of SEG/SGDA.","url_abs":"https://arxiv.org/abs/2206.01095v2","url_pdf":"https://arxiv.org/pdf/2206.01095v2.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"clipped-stochastic-methods-for-variational","repo_url":"https://github.com/busycalibrating/clipped-stochastic-methods","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":1,"framework":"pytorch","reach":{"status":"ok"}}],"tasks":[],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"syntology_url":"https://syntology.ai/paper/2206.01095","atlas_url":"https://app.syntology.ai/?focus=2206.01095","mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}