A stochastic variance-reduced accelerated primal-dual method for finite-sum saddle-point problems

Erfan Yazdandoost Hamedani, Afrooz Jalilzadeh

Abstract: In this paper, we propose a variance-reduced primal-dual algorithm with Bregman distance functions for solving convex-concave saddle-point problems with finite-sum structure and nonbilinear coupling function. This type of problem typically arises in machine learning and game theory. Based on some standard assumptions, the algorithm is proved to converge with oracle complexities of \({\mathcal {O}}(\frac{\sqrt{n}}{\epsilon })\) and \({\mathcal {O}}(\frac{n}{\sqrt{\epsilon }}+\frac{1}{\epsilon ^{1.5}})\) using constant and non-constant parameters, respectively where n is the number of function components. Compared with existing methods, our framework yields a significant improvement over the number of required primal-dual gradient samples to achieve \(\epsilon \)-accuracy of the primal-dual gap. We also present numerical experiments to showcase the superior performance of our method compared with state-of-the-art methods.