Linear Convergence of the Primal-Dual Gradient Method for Convex-Concave Saddle Point Problems without Strong Convexity

Abstract

We consider the convex-concave saddle point problem ${\min }_x{\max }_{y}f(x)+y^{\top }Ax-g(y)$ where $f$ is smooth and convex and $g$ is smooth and strongly convex. We prove that if the coupling matrix $A$ has full column rank, the vanilla primal-dual gradient method can achieve linear convergence even if $f$ is not strongly convex. Our result generalizes previous work which either requires $f$ and $g$ to be quadratic functions or requires proximal mappings for both $f$ and $g$. We adopt a novel analysis technique that in each iteration uses a "ghost" update as a reference, and show that the iterates in the primal-dual gradient method converge to this "ghost" sequence. Using the same technique we further give an analysis for the primal-dual stochastic variance reduced gradient (SVRG) method for convex-concave saddle point problems with a finite-sum structure.

Published in AISTATS 2019