Disciplined Saddle Programming

We consider convex-concave saddle point problems, and more generally convex optimization problems we refer to as textitsaddle problems, which include the partial supremum or infimum of convex-concave saddle functions. Saddle problems arise in a wide range of applications, including game theory, machine learning, and finance. It is well known that a saddle problem can be reduced to a single convex optimization problem by dualizing either the convex (min) or concave (max) objectives, reducing a min-max problem into a min-min (or max-max) problem. Carrying out this conversion by hand can be tedious and error prone. In this paper we introduce textitdisciplined saddle programming (DSP), a domain specific language (DSL) for specifying saddle problems, for which the dualizing trick can be automated. The language and methods are based on recent work by Juditsky and Nemirovski arXiv:2102.01002 [math.OC], who developed the idea of conic-representable saddle point programs, and showed how to carry out the required dualization automatically using conic duality. Juditsky and Nemirovski's conic representation of saddle problems extends Nesterov and Nemirovski's earlier development of conic representable convex problems; DSP can be thought of as extending disciplined convex programming (DCP) to saddle problems. Just as DCP makes it easy for users to formulate and solve complex convex problems, DSP allows users to easily formulate and solve saddle problems. Our method is implemented in an open-source package, also called DSP.