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arXiv · 2210.06086

The Mirror-Prox Sliding Method for Non-smooth decentralized saddle-point problems

Ilya Kuruzov·Alexander Rogozin·Demyan Yarmoshik·Alexander Gasnikov
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Abstract

The saddle-point optimization problems have a lot of practical applications. This paper focuses on such non-smooth problems in decentralized case. This work contains generalization of recently proposed sliding for centralized problem. Through specific penalization method and this sliding we obtain algorithm for non-smooth decentralized saddle-point problems. Note, the proposed method approaches lower bounds both for number of communication rounds and calls of (sub-)gradient per node.

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Ilya Kuruzov, Alexander Rogozin, Demyan Yarmoshik, Alexander Gasnikov. 2022-10-12. The Mirror-Prox Sliding Method for Non-smooth decentralized saddle-point problems. https://arxiv.org/abs/2210.06086

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