论文标题
通过积分二次约束对平滑游戏的一阶方法的统一分析
A Unified Analysis of First-Order Methods for Smooth Games via Integral Quadratic Constraints
论文作者
论文摘要
整体二次约束(IQC)的理论允许认证包含非线性或不确定元素的互连系统的指数收敛性。在这项工作中,我们将IQC理论调整为研究平滑且强烈的一体酮游戏的一阶方法,并展示如何设计量身定制的二次约束以获得收敛速率的紧密上限。使用此框架,我们恢复了对梯度方法〜(GD)的现有界限,得出了近端方法〜(PPM)和乐观梯度方法〜(OG)的尖锐界限,并首次提供\ emph {首次提供全球收敛速率,用于负面动量方法〜(nm)$ \ $ \ nm Mathcal uts $ \ o \ o。已知的下限。此外,对于时间变化系统,我们证明具有最佳步长尺寸的梯度方法可以通过二次lyapunov函数实现最快的可证明的最坏情况收敛速率。最后,我们将分析进一步扩展到随机游戏,并研究乘法噪声对不同算法的影响。我们表明,如果仅查询每批梯度一次,则不可能使用一个记忆一步的算法达到加速度(与随机强凸优化的设置相反,在该设置中已经证明了加速度)。但是,我们表现出一种算法,每批次有两个梯度查询达到加速度。
The theory of integral quadratic constraints (IQCs) allows the certification of exponential convergence of interconnected systems containing nonlinear or uncertain elements. In this work, we adapt the IQC theory to study first-order methods for smooth and strongly-monotone games and show how to design tailored quadratic constraints to get tight upper bounds of convergence rates. Using this framework, we recover the existing bound for the gradient method~(GD), derive sharper bounds for the proximal point method~(PPM) and optimistic gradient method~(OG), and provide \emph{for the first time} a global convergence rate for the negative momentum method~(NM) with an iteration complexity $\mathcal{O}(κ^{1.5})$, which matches its known lower bound. In addition, for time-varying systems, we prove that the gradient method with optimal step size achieves the fastest provable worst-case convergence rate with quadratic Lyapunov functions. Finally, we further extend our analysis to stochastic games and study the impact of multiplicative noise on different algorithms. We show that it is impossible for an algorithm with one step of memory to achieve acceleration if it only queries the gradient once per batch (in contrast with the stochastic strongly-convex optimization setting, where such acceleration has been demonstrated). However, we exhibit an algorithm which achieves acceleration with two gradient queries per batch.