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Last-Iterate Convergence of Saddle-Point Optimizers via High-Resolution Differential Equations
Tatjana Chavdarova, Michael I. Jordan, Manolis Zampetakis
Several widely-used first-order saddle-point optimization methods yield an identical continuous-time ordinary differential equation (ODE) that is identical to that of the Gradient…
Monotone Inclusions, Acceleration and Closed-Loop Control
Tianyi Lin, Michael. I. Jordan
We propose and analyze a new dynamical system with a closed-loop control law in a Hilbert space , aiming to shed light on the acceleration phenomenon for \textit{monot…
On Constraints in First-Order Optimization: A View from Non-Smooth Dynamical Systems
Michael Muehlebach, Michael I. Jordan
We introduce a class of first-order methods for smooth constrained optimization that are based on an analogy to non-smooth dynamical systems. Two distinctive features of our approa…
On the Convergence of Stochastic Extragradient for Bilinear Games using Restarted Iteration Averaging
Chris Junchi Li, Yaodong Yu, Nicolas Loizou +4
We study the stochastic bilinear minimax optimization problem, presenting an analysis of the same-sample Stochastic ExtraGradient (SEG) method with constant step size, and presenti…