AltGDA Achieves Global $O(1/T)$ Ergodic Convergence in Matrix Games

Abstract

Alternating gradient descent-ascent (AltGDA) is a simple and practically effective method for solving finite two-player zero-sum matrix games. However, the theory of AltGDA remains limited: existing results either apply only to unconstrained settings or require restrictive assumptions on the equilibrium in constrained settings. We show that AltGDA converges globally at an $O(1/T)$ ergodic rate in every finite two-player zero-sum matrix game. Unlike prior results, our guarantee holds for every initialization and every horizon $T$: the uniform averages of the AltGDA iterates satisfy an $O(1/T)$ duality-gap bound. Our proof is inspired by numerical results obtained using a novel performance estimation programming (PEP) framework for Lyapunov function search over compact convex sets. Additionally, we provide simple counterexamples showing that the last-iterate duality gap of AltGDA does not converge to zero. This justifies why averaging of iterates is indeed necessary to achieve an $O(1/T)$ rate. We have formalized and machine-checked our global ergodic convergence result in Lean 4.