Decentralized Distributed Optimization for Saddle Point Problems

We consider distributed convex-concave saddle point problems over arbitrary connected undirected networks and propose a decentralized distributed algorithm for their solution. The local functions distributed across the nodes are assumed to have global and local groups of variables. For the proposed algorithm we prove non-asymptotic convergence rate estimates with explicit dependence on the network characteristics. To supplement the convergence rate analysis, we propose lower bounds for strongly-convex-strongly-concave and convex-concave saddle-point problems over arbitrary connected undirected networks. We illustrate the considered problem setting by a particular application to distributed calculation of non-regularized Wasserstein barycenters