Conic Blackwell Algorithm: Parameter-Free Convex-Concave Saddle-Point Solving
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We develop new parameter and scale-free algorithms for solving convex-concave saddle-point problems. Our results are based on a new simple regret minimizer, the Conic Blackwell Algorithm^+ (CBA^+), which attains O(1/√(T)) average regret. Intuitively, our approach generalizes to other decision sets of interest ideas from the Counterfactual Regret minimization (CFR^+) algorithm, which has very strong practical performance for solving sequential games on simplexes. We show how to implement CBA^+ for the simplex, ℓ_p norm balls, and ellipsoidal confidence regions in the simplex, and we present numerical experiments for solving matrix games and distributionally robust optimization problems. Our empirical results show that CBA^+ is a simple algorithm that outperforms state-of-the-art methods on synthetic data and real data instances, without the need for any choice of step sizes or other algorithmic parameters.
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