Stochastic Extragradient: General Analysis and Improved Rates
This repository is the official implementation of the paper "Stochastic Extragradient: General Analysis and Improved Rates".
Installation
git clone https://github.com/hugobb/Stochastic-Extragradient.git
cd Stochastic-Extragradient
pip install .
Notebooks
To reproduce the results of the paper simply open the notebook gamesopt/experiments/Exp1 AISTATS 2022.ipynb
.
Structure of the code
There is two main class Game
and Algorithm
. To instantiate a quadratic game and run stochastic extragradient (SEG) with same sample:
game = QuadraticGame(dim, n_samples)
alg = SEG(game, lr=lr, lr_e=lr_e, same_sample=True)
results = alg.run(n_iter)
This will return a dict
with different metrics.