Sharper Rates for Separable Minimax and Finite Sum Optimization via Primal-Dual Extragradient Methods
This work addresses fundamental optimization challenges in machine learning, offering incremental improvements in algorithmic efficiency for separable minimax and finite sum problems.
The paper tackles separable minimax and finite sum optimization problems by designing accelerated algorithms based on primal-dual extragradient methods, achieving improved gradient query complexities that match or improve upon existing bounds, such as a rate matching a lower bound for bilinear coupling and a factor up to √n improvement over prior methods for non-uniform smoothness.
We design accelerated algorithms with improved rates for several fundamental classes of optimization problems. Our algorithms all build upon techniques related to the analysis of primal-dual extragradient methods via relative Lipschitzness proposed recently by [CST21]. (1) Separable minimax optimization. We study separable minimax optimization problems $\min_x \max_y f(x) - g(y) + h(x, y)$, where $f$ and $g$ have smoothness and strong convexity parameters $(L^x, μ^x)$, $(L^y, μ^y)$, and $h$ is convex-concave with a $(Λ^{xx}, Λ^{xy}, Λ^{yy})$-blockwise operator norm bounded Hessian. We provide an algorithm with gradient query complexity $\tilde{O}\left(\sqrt{\frac{L^{x}}{μ^{x}}} + \sqrt{\frac{L^{y}}{μ^{y}}} + \frac{Λ^{xx}}{μ^{x}} + \frac{Λ^{xy}}{\sqrt{μ^{x}μ^{y}}} + \frac{Λ^{yy}}{μ^{y}}\right)$. Notably, for convex-concave minimax problems with bilinear coupling (e.g.\ quadratics), where $Λ^{xx} = Λ^{yy} = 0$, our rate matches a lower bound of [ZHZ19]. (2) Finite sum optimization. We study finite sum optimization problems $\min_x \frac{1}{n}\sum_{i\in[n]} f_i(x)$, where each $f_i$ is $L_i$-smooth and the overall problem is $μ$-strongly convex. We provide an algorithm with gradient query complexity $\tilde{O}\left(n + \sum_{i\in[n]} \sqrt{\frac{L_i}{nμ}} \right)$. Notably, when the smoothness bounds $\{L_i\}_{i\in[n]}$ are non-uniform, our rate improves upon accelerated SVRG [LMH15, FGKS15] and Katyusha [All17] by up to a $\sqrt{n}$ factor. (3) Minimax finite sums. We generalize our algorithms for minimax and finite sum optimization to solve a natural family of minimax finite sum optimization problems at an accelerated rate, encapsulating both above results up to a logarithmic factor.