Saddle-point dynamics: conditions for asymptotic stability of saddle points
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Publication:2968544
asymptotic convergencecenter manifold theorynonsmooth dynamicssaddle-point dynamicsconvex-concave functionsproximal calculus
Minimax problems in mathematical programming (90C47) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Nonlinear ordinary differential equations and systems (34A34) Asymptotic properties of solutions to ordinary differential equations (34D05) Global stability of solutions to ordinary differential equations (34D23) Normal forms, center manifold theory, bifurcation theory for infinite-dimensional dissipative dynamical systems (37L10) Stability of manifolds of solutions to ordinary differential equations (34D35)
Abstract: This paper considers continuously differentiable functions of two vector variables that have (possibly a continuum of) min-max saddle points. We study the asymptotic convergence properties of the associated saddle-point dynamics (gradient-descent in the first variable and gradient-ascent in the second one). We identify a suite of complementary conditions under which the set of saddle points is asymptotically stable under the saddle-point dynamics. Our first set of results is based on the convexity-concavity of the function defining the saddle-point dynamics to establish the convergence guarantees. For functions that do not enjoy this feature, our second set of results relies on properties of the linearization of the dynamics, the function along the proximal normals to the saddle set, and the linearity of the function in one variable. We also provide global versions of the asymptotic convergence results. Various examples illustrate our discussion.
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