Significance of Minimax Optimization part1(Machine Learning)

Abstract: In the paper, we study a class of nonconvex nonconcave minimax optimization problems (i.e., minxmaxyf(x,y)), where f(x,y) is possible nonconvex in x, and it is nonconcave and satisfies the Polyak-Lojasiewicz (PL) condition in y. Moreover, we propose a class of enhanced momentum-based gradient descent ascent methods (i.e., MSGDA and AdaMSGDA) to solve these stochastic Nonconvex-PL minimax problems. In particular, our AdaMSGDA algorithm can use various adaptive learning rates in updating the variables x and y without relying on any global and coordinate-wise adaptive learning rates. Theoretically, we present an effective convergence analysis framework for our methods. Specifically, we prove that our MSGDA and AdaMSGDA methods have the best known sample (gradient) complexity of O(ε 3) only requiring one sample at each loop in finding an ε-stationary solution (i.e., E F(x) ε, where F(x) maxyf(x,y)).