A Provably Convergent and Practical Algorithm for Min-max Optimization with Applications to GANs

We present a new algorithm for optimizing min-max loss functions that arise in training GANs. We prove that our algorithm converges to an equilibrium point in time polynomial in the dimension, and smoothness parameters of the loss function. The point our algorithm converges to is stable when the maximizing player can respond using any sequence of steps which increase the loss at each step, and the minimizing player is empowered to simulate the maximizing player's response for arbitrarily many steps but is restricted to move according to updates sampled from a stochastic gradient oracle. We apply our algorithm to train GANs on Gaussian mixtures, MNIST and CIFAR-10. We observe that our algorithm trains stably and avoids mode collapse, while achieving a training time per iteration and memory requirement similar to gradient descent-ascent.