Poster
Efficient Interpolation between Extragradient and Proximal Methods for Weak MVIs
Thomas Pethick · Ioannis Mavrothalassitis · Volkan Cevher
Hall 3 + Hall 2B #372
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Abstract
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Fri 25 Apr midnight PDT
— 2:30 a.m. PDT
Abstract:
We study nonmonotone games satisfying the weak Minty variational inequality (MVI) with parameter ρ∈(−1L,∞), where L is the Lipschitz constant of the gradient operator. An error corrected version of the inexact proximal point algorithm is proposed, with which we establish the first O(1/ϵ) rate for the entire range ρ∈(−1L,∞), thus removing a logarithmic factor compared with the complexity of existing methods. The scheme automatically selects the needed accuracy for the proximal computation, and can recover the relaxed extragradient method when ρ>−12L and the relaxed proximal point algorithm (rPPA) when ρ>−1L. Due to the error correction, the scheme inherits the strong properties of the _exact_ rPPA. Specifically, we show that linear convergence is automatically achieved under appropriate conditions. Tightness for the range of ρ is established through a lower bound for rPPA. Central to the algorithmic construction is a halfspace projection, where the key insight is that the allowed error tolerance can both be used to correct for the proximal approximation and to enlarge the problem class.
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