The Mirror-Prox Sliding Method for Non-smooth decentralized saddle-point problems

Abstract: The saddle-point optimization problems have a lot of practical applications. This paper focuses on such non-smooth problems in decentralized case. This work contains generalization of recently proposed sliding for centralized problem. Through specific penalization method and this sliding we obtain algorithm for non-smooth decentralized saddle-point problems. Note, the proposed method approaches lower bounds both for number of communication rounds and calls of (sub-)gradient per node.