strongly-convex-concave minimax problems first, which we will add in the final revision

We thank all the reviewers for their constructive comments. Conceptual DIAG: The intuition behind Algorithm 1 stems from a "conceptual" version of DIAG (also specified in Algorithm 1, Step 4), which is inspired from the conceptual version of Mirror-Prox (MP) (cf. Thus the overall speed of Imp-STEP is O()) steps. Response to reviewer 1: We agree with and will include, the reviewer's comment, that the non-smoothness of We will devote more space to explaining the DIAG algorithm and discussing more related works. We will add a precise justification (which was omitted due to the lack of space) in the next revision.