A Whole New Ball Game: A Primal Accelerated Method for Matrix Games and Minimizing the Maximum of Smooth Functions

We design algorithms for minimizing $\max{i\in[n]} fi(x)$ over a $d$-dimensional Euclidean or simplex domain. When each $fi$ is $1$-Lipschitz and $1$-smooth, our method computes an $\epsilon$-approximate solution using $\widetilde{O}(n \epsilon^{-1/3} + \epsilon^{-2})$ gradient and function evaluations, and $\widetilde{O}(n \epsilon^{-4/3})$ additional runtime. For large $n$, our evaluation complexity is optimal up to polylogarithmic factors. In the special case where each $fi$ is linear -- which corresponds to finding a near-optimal primal strategy in a matrix game -- our method finds an $\epsilon$-approximate solution in runtime $\widetilde{O}(n (d/\epsilon)^{2/3} + nd + d\epsilon^{-2})$. For $n>d$ and $\epsilon=1/\sqrt{n}$ this improves over all existing first-order methods. When additionally $d = \omega(n^{8/11})$ our runtime also improves over all known interior point methods. Our algorithm combines three novel primitives: (1) A dynamic data structure which enables efficient stochastic gradient estimation in small $\ell2$ or $\ell1$ balls. (2) A mirror descent algorithm tailored to our data structure implementing an oracle which minimizes the objective over these balls. (3) A simple ball oracle acceleration framework suitable for non-Euclidean geometry.