Stochastic Hamiltonian Gradient Methods for Smooth Games

Nicolas Loizou, Hugo Berard, Alexia Jolicoeur-Martineau, Pascal Vincent, Simon Lacoste-Julien, Ioannis Mitliagkas
Proceedings of the 37th International Conference on Machine Learning, PMLR 119:6370-6381, 2020.

Abstract

The success of adversarial formulations in machine learning has brought renewed motivation for smooth games. In this work, we focus on the class of stochastic Hamiltonian methods and provide the first convergence guarantees for certain classes of stochastic smooth games. We propose a novel unbiased estimator for the stochastic Hamiltonian gradient descent (SHGD) and highlight its benefits. Using tools from the optimization literature we show that SHGD converges linearly to the neighbourhood of a stationary point. To guarantee convergence to the exact solution, we analyze SHGD with a decreasing step-size and we also present the first stochastic variance reduced Hamiltonian method. Our results provide the first global non-asymptotic last-iterate convergence guarantees for the class of stochastic unconstrained bilinear games and for the more general class of stochastic games that satisfy a “sufficiently bilinear" condition, notably including some non-convex non-concave problems. We supplement our analysis with experiments on stochastic bilinear and sufficiently bilinear games, where our theory is shown to be tight, and on simple adversarial machine learning formulations.

Cite this Paper


BibTeX
@InProceedings{pmlr-v119-loizou20a, title = {Stochastic {H}amiltonian Gradient Methods for Smooth Games}, author = {Loizou, Nicolas and Berard, Hugo and Jolicoeur-Martineau, Alexia and Vincent, Pascal and Lacoste-Julien, Simon and Mitliagkas, Ioannis}, booktitle = {Proceedings of the 37th International Conference on Machine Learning}, pages = {6370--6381}, year = {2020}, editor = {III, Hal Daumé and Singh, Aarti}, volume = {119}, series = {Proceedings of Machine Learning Research}, month = {13--18 Jul}, publisher = {PMLR}, pdf = {http://proceedings.mlr.press/v119/loizou20a/loizou20a.pdf}, url = {http://proceedings.mlr.press/v119/loizou20a.html}, abstract = {The success of adversarial formulations in machine learning has brought renewed motivation for smooth games. In this work, we focus on the class of stochastic Hamiltonian methods and provide the first convergence guarantees for certain classes of stochastic smooth games. We propose a novel unbiased estimator for the stochastic Hamiltonian gradient descent (SHGD) and highlight its benefits. Using tools from the optimization literature we show that SHGD converges linearly to the neighbourhood of a stationary point. To guarantee convergence to the exact solution, we analyze SHGD with a decreasing step-size and we also present the first stochastic variance reduced Hamiltonian method. Our results provide the first global non-asymptotic last-iterate convergence guarantees for the class of stochastic unconstrained bilinear games and for the more general class of stochastic games that satisfy a “sufficiently bilinear" condition, notably including some non-convex non-concave problems. We supplement our analysis with experiments on stochastic bilinear and sufficiently bilinear games, where our theory is shown to be tight, and on simple adversarial machine learning formulations.} }
Endnote
%0 Conference Paper %T Stochastic Hamiltonian Gradient Methods for Smooth Games %A Nicolas Loizou %A Hugo Berard %A Alexia Jolicoeur-Martineau %A Pascal Vincent %A Simon Lacoste-Julien %A Ioannis Mitliagkas %B Proceedings of the 37th International Conference on Machine Learning %C Proceedings of Machine Learning Research %D 2020 %E Hal Daumé III %E Aarti Singh %F pmlr-v119-loizou20a %I PMLR %P 6370--6381 %U http://proceedings.mlr.press/v119/loizou20a.html %V 119 %X The success of adversarial formulations in machine learning has brought renewed motivation for smooth games. In this work, we focus on the class of stochastic Hamiltonian methods and provide the first convergence guarantees for certain classes of stochastic smooth games. We propose a novel unbiased estimator for the stochastic Hamiltonian gradient descent (SHGD) and highlight its benefits. Using tools from the optimization literature we show that SHGD converges linearly to the neighbourhood of a stationary point. To guarantee convergence to the exact solution, we analyze SHGD with a decreasing step-size and we also present the first stochastic variance reduced Hamiltonian method. Our results provide the first global non-asymptotic last-iterate convergence guarantees for the class of stochastic unconstrained bilinear games and for the more general class of stochastic games that satisfy a “sufficiently bilinear" condition, notably including some non-convex non-concave problems. We supplement our analysis with experiments on stochastic bilinear and sufficiently bilinear games, where our theory is shown to be tight, and on simple adversarial machine learning formulations.
APA
Loizou, N., Berard, H., Jolicoeur-Martineau, A., Vincent, P., Lacoste-Julien, S. & Mitliagkas, I.. (2020). Stochastic Hamiltonian Gradient Methods for Smooth Games. Proceedings of the 37th International Conference on Machine Learning, in Proceedings of Machine Learning Research 119:6370-6381 Available from http://proceedings.mlr.press/v119/loizou20a.html.

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