Xiaojun Chen

A sequential smoothing majorant stochastic approximation method for nonconvex nonconcave minimax problems

We propose a sequential smoothing majorant stochastic approximation (SMSA) method for nonconvex-nonconcave minimax optimization problems. To overcome the nonconcavity of the inner maximization problem, we introduce a new majorant stochastic approximation with an $O\left(\beta_N^2\right)$ accuracy bound, where $\beta_N$...