Accelerated Single-Call Methods for Constrained Min-Max Optimization


We study first-order methods for constrained min-max optimization. Existing methods either require two gradient calls or two projections in each iteration, which may be costly in some applications. In this paper, we first show that a variant of the Optimistic Gradient (OG) method, a single-call single-projection algorithm, has $ O(\frac{1}{\sqrt{T}}) $ best-iterate convergence rate for inclusion problems with operators that satisfy the weak Minty variation inequality (MVI). Our second result is the first single-call single-projection algorithm – the Accelerated Reflected Gradient (ARG) method that achieves the optimal $ O(\frac{1}{T}) $ last-iterate convergence rate for inclusion problems that satisfy negative comonotonicity. Both the weak MVI and negative comonotonicity are well-studied assumptions and capture a rich set of non-convex non-concave min-max optimization problems. Finally, we show that the Reflected Gradient (RG) method, another single-call single-projection algorithm, has $ O(\frac{1}{T}) $ last-iterate convergence rate for constrained convex-concave min-max optimization, answering an open problem of [Hsieh et al., 2019]. Our convergence rates hold for standard measures such as the tangent residual and the natural residual.

Proceedings of the 11th International Conference on Learning Representations (ICLR)