The Landscape of Nonconvex-Nonconcave Minimax Optimization

Ben Grimmer
Haihao (Sean) Lu
Mathematical Programming (Springer Nature), na (2023), na

Abstract

Minimax optimization has become a central tool for modern machine learning with applications in robust optimization, game theory and training GANs. These applications are often nonconvex-nonconcave, but the existing theory is unable to identify and deal with the fundamental difficulties posed by nonconvex-nonconcave structures.

We break this historical barrier by identifying three regions of nonconvex-nonconcave bilinear minimax problems and characterizing their different solution paths. For problems where the interaction between the agents is sufficiently strong, we derive global linear convergence guarantees. Conversely when the interaction between the agents is fairly weak, we derive local linear convergence guarantees. Between these two settings, we characterize the types of cycles that can occur, preventing the convergence of the solution path.