Near-Optimal Single-Loop Predictor--Corrector Extragradient Method for Strongly Convex--Strongly Concave Minimax Optimization
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Abstract (arXiv)
We study smooth strongly convex--strongly concave minimax optimization in the deterministic unconstrained setting, without assuming a bilinear or separable structure. Although existing multi-loop methods attain near-optimal condition-number dependence, standard single-loop methods generally exhibit a substantial complexity gap. To close this gap, we propose the Single-Loop Predictor--Corrector Extragradient Method with Damped Momentum (PCE-DM), which combines an extragradient prediction--correction scheme with a novel auxiliary feedback recursion for the weaker-curvature variable. PCE-DM uses fixed parameters and two new full-gradient evaluations per iteration after one initialization query, while requiring no inner solves, accuracy schedules, or staged restarts. We develop a Lyapunov analysis that controls the predictor--corrector mismatch through corrected-gradient increments and establish last-iterate linear convergence. Specifically, PCE-DM computes an varepsilon-accurate relative solution, measured by the squared Euclidean distance to the saddle point, within O!left(√kappaxkappay log(2kappaxkappay/varepsilon)right) full-gradient queries. This result closes the condition-number complexity gap between standard single-loop methods and near-optimal multi-loop methods, matching the known lower-bound order up to logarithmic factors while retaining fixed, explicit single-loop updates. Numerical experiments on regularized linear regression and AUC maximization demonstrate the computational efficiency of PCE-DM.
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References · 14
- 2019A Unified Analysis of Extra-gradient and Optimistic Gradient Methods for Saddle Point Problems: Proximal Point Approachcited by 143
- 2020Near-Optimal Algorithms for Minimax Optimizationcited by 119
- 2017Stochastic Variance Reduction Methods for Policy Evaluationcited by 58
- 2020Improved Algorithms for Convex-Concave Minimax Optimizationcited by 34
- 2014Stochastic Primal-Dual Coordinate Method for Regularized Empirical Risk Minimizationcited by 31
- 2019On Lower Iteration Complexity Bounds for the Saddle Point Problemscited by 28
- 2020Generalization Bounds for Stochastic Saddle Point Problemscited by 28
- 2022The First Optimal Algorithm for Smooth and Strongly-Convex-Strongly-Concave Minimax Optimizationcited by 20
- 2021Accelerated Primal-Dual Gradient Method for Smooth and Convex-Concave Saddle-Point Problems with Bilinear Couplingcited by 16
- 2022Sharper Rates for Separable Minimax and Finite Sum Optimization via Primal-Dual Extragradient Methodscited by 15
- 2022Lifted Primal-Dual Method for Bilinearly Coupled Smooth Minimax Optimizationcited by 13
- 2021Quasi-Newton Methods for Saddle Point Problems and Beyondcited by 10
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