Code for Stochastic Gradient Descent-Ascent: Unified Theory and New Efficient Methods

Requirements

• torch

Installation

pip install -e .

Testing

python -m unittest discover -s tests

Notebooks

To reproduce the results of the paper, run the notebooks in the notebooks folder.

Documentation

Games

If you want to test the different optimizers on your own game, create a class that inherits from Game. You should implement either the loss or operator method, and the sample method.

Optimizers

If you want to test your own optimizer on the existing games, create a class that inherits from Optimizer. You should implement the step method that update the parameters of the players.

Distributed

QSGDA, DIANA-SGDA and VR-DIANA-SGDA are implemented using torch.distributed.

Folder structure

- gamesopt:
  - games:
    - quadratic_games.py  # code for the definition of quadratic games.
  - optimizer:
    - sgda.py   # code for SVRGDA and L-SVRGDA
    - distributed.py  # code for QSGDA, DIANA-SGDA and VR-DIANA-SGDA
  - train.py  # To run the experiments
  - train_distributed #to run the distributed experiments.