New First-Order Algorithms for Stochastic Variational Inequalities

نویسندگان

چکیده

In this paper, we propose two new solution schemes to solve the stochastic strongly monotone variational inequality (VI) problems: extra-point scheme and extra-momentum scheme. The first one is a general based on updating iterative sequence an auxiliary sequence. case of deterministic VI model, approach includes several state-of-the-art first-order methods as its special cases. second combines momentum-based directions: so-called heavy-ball direction optimism direction, where only projection per iteration required in process. We show that if variance oracle appropriately controlled, then both can be made achieve optimal complexity $\mathcal{O}\left(\kappa\ln\left(\frac{1}{\epsilon}\right)\right)$ reach $\epsilon$-solution for problem with condition number $\kappa$. As specific application VI, demonstrate how incorporate zeroth-order solving minimax saddle-point problems our schemes, noisy biased samples objective obtained, total sample $\mathcal{O}\left(\frac{\kappa}{\epsilon}\right)$.

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ژورنال

عنوان ژورنال: Siam Journal on Optimization

سال: 2022

ISSN: ['1095-7189', '1052-6234']

DOI: https://doi.org/10.1137/21m1441778