Corpus ID: 235694706

On the Convergence of Stochastic Extragradient for Bilinear Games with Restarted Iteration Averaging

  title={On the Convergence of Stochastic Extragradient for Bilinear Games with Restarted Iteration Averaging},
  author={Chris Junchi Li and Yao-Liang Yu and Nicolas Loizou and Gauthier Gidel and Yi Ma and Nicolas Le Roux and Michael I. Jordan},
We study the stochastic bilinear minimax optimization problem, presenting an analysis of the Stochastic ExtraGradient (SEG) method with constant step size, and presenting variations of the method that yield favorable convergence. We first note that the last iterate of the basic SEG method only contracts to a fixed neighborhood of the Nash equilibrium, independent of the step size. This contrasts sharply with the standard setting of minimization where standard stochastic algorithms converge to a… Expand

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