First-Order Methods for Solving Convex (Strongly) Concave Minimax Problems with Functional Constraints

Abstract

Minimax problems arise in many applications, including robust learning and Stackelberg models. Most existing methods for minimax problems address unconstrained or projection-friendly settings, while functional constrained minimax problems remain far less explored. We study a class of convex-(strongly-)concave minimax problems with functional constraints. By exploiting strong duality, we incorporate the inner-maximization functional constraints into the objective. This allows us to efficiently obtain inexact gradients of the primal function of the reformulation and to design a proximal augmented Lagrangian method (PALM). Each PALM subproblem is solved by an inexact accelerated proximal gradient scheme to handle inexact gradients arising from approximately solving an auxiliary maximization subproblem. We show that the proposed method returns an $\varepsilon$-KKT point and a primal $\varepsilon$-optimal solution, with $\tilde{\mathcal{O}}(\varepsilon^{-1})$ first-order oracle and iteration complexity in the convex-strongly-concave case. For the convex-concave case, the complexity remains the same for the primal gradient evaluation but increases to $\tilde{\mathcal{O}}(\varepsilon^{-\frac{3}{2}})$ for the dual part.