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Title: Halpern Iteration for Near-Optimal and Parameter-Free Monotone Inclusion and Strong Solutions to Variational Inequalities
We leverage the connections between nonexpansive maps, monotone Lipschitz operators, and proximal mappings to obtain near-optimal (i.e., optimal up to poly-log factors in terms of iteration complexity) and parameter-free methods for solving monotone inclusion problems. These results immediately translate into near-optimal guarantees for approximating strong solutions to variational inequality problems, approximating convex-concave min-max optimization problems, and minimizing the norm of the gradient in min-max optimization problems. Our analysis is based on a novel and simple potential-based proof of convergence of Halpern iteration, a classical iteration for finding fixed points of nonexpansive maps. Additionally, we provide a series of algorithmic reductions that highlight connections between different problem classes and lead to lower bounds that certify near-optimality of the studied methods.  more » « less
Award ID(s):
2007757
NSF-PAR ID:
10294965
Author(s) / Creator(s):
Date Published:
Journal Name:
Proceedings of Thirty Third Conference on Learning Theory
Volume:
125
Page Range / eLocation ID:
1428-1451
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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