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A Single-Loop Smoothed Gradient Descent-Ascent Algorithm for Nonconvex-Concave Min-Max Problems

10/29/2020
by   Jiawei Zhang, et al.
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Nonconvex-concave min-max problem arises in many machine learning applications including minimizing a pointwise maximum of a set of nonconvex functions and robust adversarial training of neural networks. A popular approach to solve this problem is the gradient descent-ascent (GDA) algorithm which unfortunately can exhibit oscillation in case of nonconvexity. In this paper, we introduce a "smoothing" scheme which can be combined with GDA to stabilize the oscillation and ensure convergence to a stationary solution. We prove that the stabilized GDA algorithm can achieve an O(1/ϵ^2) iteration complexity for minimizing the pointwise maximum of a finite collection of nonconvex functions. Moreover, the smoothed GDA algorithm achieves an O(1/ϵ^4) iteration complexity for general nonconvex-concave problems. Extensions of this stabilized GDA algorithm to multi-block cases are presented. To the best of our knowledge, this is the first algorithm to achieve O(1/ϵ^2) for a class of nonconvex-concave problem. We illustrate the practical efficiency of the stabilized GDA algorithm on robust training.

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