A first-order augmented Lagrangian method for constrained minimax optimization

Abstract

In this paper we study a class of constrained minimax problems. In particular, we propose a first-order augmented Lagrangian method for solving them, whose subproblems turn out to be a much simpler structured minimax problem and are suitably solved by a first-order method developed in this paper. Under some suitable assumptions, an \emph{operation complexity} of $O({\epsilon }^{-4}\log {\epsilon }^{-1})$, measured by its fundamental operations, is established for the first-order augmented Lagrangian method for finding an $\epsilon$-KKT solution of the constrained minimax problems.

Accepted by Mathematical Programming