Fast Objective and Duality Gap Convergence for Non-convex Strongly-concave Min-max Problems
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This paper focuses on stochastic methods for solving smooth non-convex strongly-concave min-max problems, which have received increasing attention due to their potential applications in deep learning (e.g., deep AUC maximization). However, most of the existing algorithms are slow in practice, and their analysis revolves around the convergence to a nearly stationary point. We consider leveraging the Polyak-Ł ojasiewicz (PL) condition to design faster stochastic algorithms with stronger convergence guarantee. Although PL condition has been utilized for designing many stochastic minimization algorithms, their applications for non-convex min-max optimization remains rare. In this paper, we propose and analyze proximal epoch-based methods, and establish fast convergence in terms of both the primal objective gap and the duality gap. Our analysis is interesting in threefold: (i) it is based on a novel Lyapunov function that consists of the primal objective gap and the duality gap of a regularized function; (ii) it only requires a weaker PL condition for establishing the primal objective convergence than that required for the duality gap convergence; (iii) it yields the optimal dependence on the accuracy level ϵ, i.e., O(1/ϵ). We also make explicit the dependence on the problem parameters and explore regions of weak convexity parameter that lead to improved dependence on condition numbers. Experiments on deep AUC maximization demonstrate the effectiveness of our methods. Our method also beats the 1st place on Stanford CheXpert competition in terms of AUC on the public validation set.
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