Proximal Gradient Descent-Ascent: Variable Convergence under KŁ GeometryDownload PDF

Published: 12 Jan 2021, Last Modified: 05 May 2023ICLR 2021 PosterReaders: Everyone
Keywords: Kurdyka-Łojasiewicz geometry, minimax, nonconvex, proximal gradient descent-ascent, variable convergence
Abstract: The gradient descent-ascent (GDA) algorithm has been widely applied to solve minimax optimization problems. In order to achieve convergent policy parameters for minimax optimization, it is important that GDA generates convergent variable sequences rather than convergent sequences of function value or gradient norm. However, the variable convergence of GDA has been proved only under convexity geometries, and it is lack of understanding in general nonconvex minimax optimization. This paper fills such a gap by studying the convergence of a more general proximal-GDA for regularized nonconvex-strongly-concave minimax optimization. Specifically, we show that proximal-GDA admits a novel Lyapunov function, which monotonically decreases in the minimax optimization process and drives the variable sequences to a critical point. By leveraging this Lyapunov function and the KL geometry that parameterizes the local geometries of general nonconvex functions, we formally establish the variable convergence of proximal-GDA to a certain critical point $x^*$, i.e., $x_t\to x^*, y_t\to y^*(x^*)$. Furthermore, over the full spectrum of the KL-parameterized geometry, we show that proximal-GDA achieves different types of convergence rates ranging from sublinear convergence up to finite-step convergence, depending on the geometry associated with the KL parameter. This is the first theoretical result on the variable convergence for nonconvex minimax optimization.
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One-sentence Summary: This is the first work on variable convergence of proximal gradient descent-ascent algorithm for nonconvex minimax optimization under ubiquitous Kurdyka-Łojasiewicz geometry.
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