Generalized Smooth Stochastic Variational Inequalities: Almost Sure Convergence and Convergence Rates

TMLR Paper5308 Authors

Abstract: This paper focuses on solving a stochastic variational inequality (SVI) problem under relaxed smoothness assumption for a class of structured non-monotone operators. The SVI problem has attracted significant interest in the machine learning community due to its immediate application to adversarial training and multi-agent reinforcement learning. In many such applications, the resulting operators do not satisfy the smoothness assumption. To address this issue, we focus on a weaker generalized smoothness assumption called $\alpha$-symmetric. Under $p$-quasi sharpness and $\alpha$-symmetric assumptions on the operator, we study clipped projection (gradient descent-ascent) and clipped Korpelevich (extragradient) methods. For these clipped methods, we provide the first almost-sure convergence results without making any assumptions on the boundedness of either the stochastic operator or the stochastic samples. We also provide the first in-expectation unbiased convergence rate results for these methods under a relaxed smoothness assumption.

Submission Length: Regular submission (no more than 12 pages of main content)

Assigned Action Editor: ~Yunwen_Lei1

Submission Number: 5308