Abstract:We investigate proximal descent methods, inspired by the minimizing movement scheme introduced by Jordan, Kinderlehrer and Otto, for optimizing entropy-regularized functionals on the Wasserstein space. We establish linear convergence under flat convexity assumptions, thereby relaxing the common reliance on geodesic convexity. Our analysis circumvents the need for discrete-time adaptations of the Evolution Variational Inequality (EVI). Instead, we leverage a uniform logarithmic Sobolev inequality (LSI) and the entropy "sandwich" lemma, extending the analysis from arXiv:2201.10469 and arXiv:2202.01009. The major challenge in the proof via LSI is to show that the relative Fisher information $I(\cdot|\pi)$ is well-defined at every step of the scheme. Since the relative entropy is not Wasserstein differentiable, we prove that along the scheme the iterates belong to a certain class of Sobolev regularity, and hence the relative entropy $\operatorname{KL}(\cdot|\pi)$ has a unique Wasserstein sub-gradient, and that the relative Fisher information is indeed finite.
Abstract:We study two variants of the mirror descent-ascent algorithm for solving min-max problems on the space of measures: simultaneous and sequential. We work under assumptions of convexity-concavity and relative smoothness of the payoff function with respect to a suitable Bregman divergence, defined on the space of measures via flat derivatives. We show that the convergence rates to mixed Nash equilibria, measured in the Nikaid\`o-Isoda error, are of order $\mathcal{O}\left(N^{-1/2}\right)$ and $\mathcal{O}\left(N^{-2/3}\right)$ for the simultaneous and sequential schemes, respectively, which is in line with the state-of-the-art results for related finite-dimensional algorithms.