Riemannian ascent--descent for nonconvex nonconcave minimax landscapes: convergence to basin saddle points and applications to distributionally robust optimization

Abstract

We study a class of distributionally robust optimization (DRO) problems for the statistical risk problem, formulated as minimax problems over the product of a Euclidean space and a Riemannian manifold. Because the resulting minimax landscape is nonconvex nonconcave in general, no globally convergent first order method is known to be available. We instead introduce the notion of a \emph{basin saddle point}, a Nash equilibrium defined locally on the Cartesian product of a $\delta$ basin around a connected component of the local minima critical set and a geodesic ball on the measure manifold. We develop an abstract convergence framework for a Riemannian gradient ascent multistep descent iteration to a basin saddle point under a local \L{}ojasiewicz type growth condition, with exponent $\beta \in (1,2]$, in the $\delta$ basin around connected components of the local minima critical sets. Under Lipschitz regularity of critical sets we establish linear convergence for $\beta = 2$ and polynomial convergence for $\beta \in (1,2)$ to a basin saddle point, with explicit dependence on the sectional curvature of the manifold. We then instantiate this framework for the statistical risk DRO problem over Gaussian measures, where the ambiguity set is naturally modeled as the product of Euclidean space and the Bures Wasserstein manifold of covariance matrices, which we relax to a penalized DRO formulation. We derive nonasymptotic Hessian estimates for the resulting Lagrangian, establish existence and local uniqueness of its maximizer, and prove that an alternating Riemannian gradient scheme converges to a basin saddle point of the penalized DRO problem, recovering the linear and polynomial rates of the abstract theory with all constants explicit in terms of data dimension, loss moments, and the reference covariance.