Decomposition Techniques for Bilinear Saddle Point Problems and Variational Inequalities with Affine Monotone Operators on Domains Given by Linear Minimization Oracles

Bruce Cox, Anatoli Juditsky, Arkadi Nemirovski

The majority of First Order methods for large-scale convex-concave saddle point problems and variational inequalities with monotone operators are proximal algorithms which at every…