Papers › Diffusion Stochastic Optimization for Min-Max Problems
Diffusion Stochastic Optimization for Min-Max Problems
Haoyuan Cai, Sulaiman A. Alghunaim, Ali H. Sayed
The optimistic gradient method is useful in addressing minimax optimization problems. Motivated by the observation that the conventional stochastic version suffers from the need for a large batch size on the order of 𝒪(ε⁻²) to achieve an ε-stationary solution, we introduce and analyze a new formulation termed Diffusion Stochastic Same-Sample Optimistic Gradient (DSS-OG). We prove its convergence and resolve the large batch issue by establishing a tighter upper bound, under the more general setting of nonconvex Polyak-Lojasiewicz (PL) risk functions. We also extend the applicability of the proposed method to the distributed scenario, where agents communicate with their neighbors via a left-stochastic protocol. To implement DSS-OG, we can query the stochastic gradient oracles in parallel with some extra memory overhead, resulting in a complexity comparable to its conventional counterpart. To demonstrate the efficacy of the proposed algorithm, we conduct tests by training generative adversarial networks.
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