@inproceedings{
chen2024lastiterate,
title={Last-Iterate Convergence for Generalized Frank-Wolfe in Monotone Variational Inequalities},
author={Zaiwei Chen and Eric Mazumdar},
booktitle={The Thirty-eighth Annual Conference on Neural Information Processing Systems},
year={2024},
url={https://openreview.net/forum?id=EjKNSErSMJ}
}
We study the convergence behavior of a generalized Frank-Wolfe algorithm in constrained (stochastic) monotone variational inequality (MVI) problems. In recent years, there have been numerous efforts to design algorithms for solving constrained MVI problems due to their connections with optimization, machine learning, and equilibrium computation in games. Most work in this domain has focused on extensions of simultaneous gradient play, with particular emphasis on understanding the convergence properties of extragradient and optimistic gradient methods. In contrast, we examine the performance of an algorithm from another well-known class of optimization algorithms: Frank-Wolfe. We show that a generalized variant of this algorithm achieves a fast $\mathcal{O}(T^{-1/2})$ last-iterate convergence rate in constrained MVI problems. By drawing connections between our generalized Frank-Wolfe algorithm and the well-known smoothed fictitious play (FP) from game theory, we also derive a finite-sample convergence rate for smoothed FP in zero-sum matrix games. Furthermore, we demonstrate that a stochastic variant of the generalized Frank-Wolfe algorithm for MVI problems also converges in a last-iterate sense, albeit at a slower $\mathcal{O}(T^{-1/6})$ convergence rate.
Last-Iterate Convergence for Generalized Frank-Wolfe in Monotone Variational Inequalities
Zaiwei Chen Eric Mazumdar