Stochastic Variance Reduction for Variational Inequality Methods

We propose stochastic variance reduced algorithms for solving convex-concave saddle point problems, monotone variational inequalities, and monotone inclusions. Our framework applies to extragradient, forward-backward-forward, and forward-reflected-backward methods both in Euclidean and Bregman setups. All proposed methods converge in exactly the same setting as their deterministic counterparts and they either match or improve the best-known complexities for solving structured min-max problems. Our results reinforce the correspondence between variance reduction in variational inequalities and minimization. We also illustrate the improvements of our approach with numerical evaluations on matrix games.