  In this paper, we propose a variance-reduced primal-dual algorithm with
Bregman distance for solving convex-concave saddle-point problems with
finite-sum structure and nonbilinear coupling function. This type of problems
typically arises in machine learning and game theory. Based on some standard
assumptions, the algorithm is proved to converge with oracle complexity of
$O\left(\frac{\sqrt n}{\epsilon}\right)$ and $O\left(\frac{n}{\sqrt
\epsilon}+\frac{1}{\epsilon^{1.5}}\right)$ using constant and non-constant
parameters, respectively where $n$ is the number of function components.
Compared with existing methods, our framework yields a significant improvement
over the number of required primal-dual gradient samples to achieve
$\epsilon$-accuracy of the primal-dual gap. We tested our method for solving a
distributionally robust optimization problem to show the effectiveness of the
algorithm.
