• Medientyp: Sonstige Veröffentlichung; Bericht; E-Book
  • Titel: Tensor methods for strongly convex strongly concave saddle point problems and strongly monotone variational inequalities
  • Beteiligte: Ostroukhov, Petr [Verfasser:in]; Kamalov, Rinat [Verfasser:in]; Dvurechensky, Pavel [Verfasser:in]; Gasnikov, Alexander [Verfasser:in]
  • Erschienen: Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik, 2021
  • Ausgabe: published Version
  • Sprache: Englisch
  • DOI: https://doi.org/10.34657/8576; https://doi.org/10.20347/WIAS.PREPRINT.2820
  • ISSN: 2198-5855
  • Schlagwörter: gradient norm minimization ; high-order smoothness ; Variational inequality ; saddle point problem ; tensor methods
  • Entstehung:
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  • Beschreibung: In this paper we propose three tensor methods for strongly-convex-strongly-concave saddle point problems (SPP). The first method is based on the assumption of higher-order smoothness (the derivative of the order higher than 2 is Lipschitz-continuous) and achieves linear convergence rate. Under additional assumptions of first and second order smoothness of the objective we connect the first method with a locally superlinear converging algorithm in the literature and develop a second method with global convergence and local superlinear convergence. The third method is a modified version of the second method, but with the focus on making the gradient of the objective small. Since we treat SPP as a particular case of variational inequalities, we also propose two methods for strongly monotone variational inequalities with the same complexity as the described above.
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