Proximal Point Approximations Achieving a Convergence Rate of O(1/k) for Smooth Convex-Concave Saddle Point Problems: Optimistic Gradient and Extra-gradient Methods
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In this paper we analyze the iteration complexity of the optimistic gradient descent-ascent (OGDA) method as well as the extra-gradient (EG) method for finding a saddle point of a convex-concave unconstrained min-max problem. To do so, we first show that both OGDA and EG can be interpreted as approximate variants of the proximal point method. We then exploit this interpretation to show that both of these algorithms achieve a convergence rate of O(1/k) for smooth convex-concave saddle point problems. Our theoretical analysis is of interest as it provides a simple convergence analysis for the EG algorithm in terms of objective function value without using compactness assumption. Moreover, it provides the first convergence guarantee for OGDA in the general convex-concave setting.
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