Solving Min-Max Optimization with Hidden Structure via Gradient Descent AscentDownload PDF

21 May 2021, 20:45 (modified: 21 Jan 2022, 16:48)NeurIPS 2021 PosterReaders: Everyone
Keywords: Minmax Optimization, Nash Equilibrium, Convex, Von Neumann, Asymptotic Stability, Hidden Games
TL;DR: We prove global convergence results for GDA to a new strong equilibrium solution concept in hidden convex concave games, a wide class of non-convex non-concave games.
Abstract: Many recent AI architectures are inspired by zero-sum games, however, the behavior of their dynamics is still not well understood. Inspired by this, we study standard gradient descent ascent (GDA) dynamics in a specific class of non-convex non-concave zero-sum games, that we call hidden zero-sum games. In this class, players control the inputs of smooth but possibly non-linear functions whose outputs are being applied as inputs to a convex-concave game. Unlike general zero-sum games, these games have a well-defined notion of solution; outcomes that implement the von-Neumann equilibrium of the ``hidden" convex-concave game. We provide conditions under which vanilla GDA provably converges not merely to local Nash, but the actual von-Neumann solution. If the hidden game lacks strict convexity properties, GDA may fail to converge to any equilibrium, however, by applying standard regularization techniques we can prove convergence to a von-Neumann solution of a slightly perturbed zero-sum game. Our convergence results are non-local despite working in the setting of non-convex non-concave games. Critically, under proper assumptions we combine the Center-Stable Manifold Theorem along with novel type of initialization dependent Lyapunov functions to prove that almost all initial conditions converge to the solution. Finally, we discuss diverse applications of our framework ranging from generative adversarial networks to evolutionary biology.
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