Linear Convergence of the Primal-Dual Gradient Method for Convex-Concave Saddle Point Problems without Strong Convexity

5 Feb 2018Simon S. DuWei Hu

We consider the convex-concave saddle point problem $\min_{x}\max_{y} f(x)+y^\top A x-g(y)$ where $f$ is smooth and convex and $g$ is smooth and strongly convex. We prove that if the coupling matrix $A$ has full column rank, the vanilla primal-dual gradient method can achieve linear convergence even if $f$ is not strongly convex... (read more)

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