A Universal Algorithm for Variational Inequalities Adaptive to Smoothness and Noise

5 Feb 2019Francis BachKfir Y. Levy

We consider variational inequalities coming from monotone operators, a setting that includes convex minimization and convex-concave saddle-point problems. We assume an access to potentially noisy unbiased values of the monotone operators and assess convergence through a compatible gap function which corresponds to the standard optimality criteria in the aforementioned subcases... (read more)

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