Convergence Behaviour of Some Gradient-Based Methods on Bilinear Zero-Sum Games
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Min-max formulations have attracted great attention in the ML community due to the rise of deep generative models and adversarial methods, and understanding the dynamics of (stochastic) gradient algorithms for solving such formulations has been a grand challenge. As a first step, we restrict ourselves to bilinear zero-sum games and give a systematic analysis of popular gradient updates, for both simultaneous and alternating versions. We provide exact conditions for their convergence and find the optimal parameter setup and convergence rates. In particular, our results offer formal evidence that alternating updates converge "better" than simultaneous ones.
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