Gradient Methods with Dynamic Inexact Oracles

Abstract: We show that the primal-dual gradient method, also known as the gradient descent ascent method, for solving convex-concave minimax problems can be viewed as an inexact gradient method applied to the primal problem. The gradient, whose exact computation relies on solving the inner maximization problem, is computed approximately by another gradient method. To model the approximate computational routine implemented by iterative algorithms, we introduce the notion of dynamic inexact oracles, which are discrete-time dynamical systems whose output asymptotically approaches the output of an exact oracle. We present a unified convergence analysis for dynamic inexact oracles realized by general first-order methods and demonstrate its use in creating new accelerated primal-dual algorithms.