Primal-dual forward-reflected splitting with linesearch for distributed min-max problems under local Lipschitz smoothness
We consider a network of finitely many agents aiming to cooperatively solve a convex-concave min-max problem combining nonsmooth terms with a smooth saddle function whose partial gradients are only locally Lipschitz continuous. Without requiring prior knowledge of the local Lipschitz moduli of the partial gradients, we propose a distributed proximal-reflected-gradient algorithm which incorporates a distributed … Read more