Breaking the Stochasticity Barrier: An Adaptive Variance-Reduced Method for Variational Inequalities
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Abstract (arXiv)
Stochastic non-convex non-concave optimization, formally characterized as Stochastic Variational Inequalities (SVIs), presents unique challenges due to rotational dynamics and the absence of a global merit function. While adaptive step-size methods (like Armijo line-search) have revolutionized convex minimization, their application to this setting is hindered by the Stochasticity Barrier: the noise in gradient estimation masks the true operator curvature, triggering erroneously large steps that destabilize convergence. In this work, we propose VR-SDA-A (Variance-Reduced Stochastic Descent-Ascent with Armijo), a novel algorithm that integrates recursive momentum (STORM) with a rigorous Same-Batch Curvature Verification mechanism. We introduce a theoretical framework based on a Lyapunov potential tracking the Operator Norm, proving that VR- SDA-A achieves an oracle complexity of O(epsilon -3) for finding an epsilon-stationary point in general Lipschitz continuous operators. This matches the optimal rate for non-convex minimization while uniquely enabling automated step-size adaptation in the saddle-point setting. We validate our approach on canonical rotational benchmarks and non-convex robust regression tasks, demonstrating that our method effectively suppresses limit cycles and accelerates convergence with reduced dependence on manual learning rate scheduling.
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References · 17
- 2017Towards Deep Learning Models Resistant to Adversarial Attackscited by 6,415
- 2016Optimization Methods for Large-Scale Machine Learningcited by 1,150
- 2019On the Convergence of Adam and Beyondcited by 841
- 2018SPIDER: Near-Optimal Non-Convex Optimization via Stochastic Path Integrated Differential Estimatorcited by 287
- 2019On Gradient Descent Ascent for Nonconvex-Concave Minimax Problemscited by 270
- 2017Training GANs with Optimismcited by 217
- 2018A Variational Inequality Perspective on Generative Adversarial Networkscited by 144
- 2019Painless Stochastic Gradient: Interpolation, Line-Search, and Convergence Ratescited by 119
- 2018The Mechanics of n-Player Differentiable Gamescited by 118
- 2017The Numerics of GANscited by 105
- 2019Reducing Noise in GAN Training with Variance Reduced Extragradientcited by 62
- 2016Stochastic Variance Reduction Methods for Saddle-Point Problemscited by 60
5 more
- 2018Golden Ratio Algorithms for Variational Inequalitiescited by 38
- 2023Solving stochastic weak Minty variational inequalities without increasing batch sizecited by 21
- 2023Escaping limit cycles: Global convergence for constrained nonconvex-nonconcave minimax problemscited by 21
- 2023Approximating Nash Equilibria in Normal-Form Games via Stochastic Optimizationcited by 9
- 2025Armijo Line-search Can Make (Stochastic) Gradient Descent Provably Fastercited by 3
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