Solving Convex-Concave Problems with tildeO(ε-4/7) Second-Order Oracle Complexity
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Abstract (arXiv)
Previous algorithms can solve convex-concave minimax problems minx ∈ X maxy ∈ Y f(x,y) with O(ε-2/3) second-order oracle calls using Newton-type methods. This result has been speculated to be optimal because the upper bound is achieved by a natural generalization of the optimal first-order method. In this work, we show an improved upper bound of tildeO(ε-4/7) by generalizing the optimal second-order method for convex optimization to solve the convex-concave minimax problem. We further apply a similar technique to lazy Hessian algorithms and show that our proposed algorithm can also be seen as a second-order ``Catalyst'' framework (Lin et al., JMLR 2018) that could accelerate any globally convergent algorithms for solving minimax problems.
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