Adaptive Proximal Gradient Method for Convex Optimization
Optimization and Control
2024-02-13 v2 Machine Learning
Numerical Analysis
Numerical Analysis
Machine Learning
Abstract
In this paper, we explore two fundamental first-order algorithms in convex optimization, namely, gradient descent (GD) and proximal gradient method (ProxGD). Our focus is on making these algorithms entirely adaptive by leveraging local curvature information of smooth functions. We propose adaptive versions of GD and ProxGD that are based on observed gradient differences and, thus, have no added computational costs. Moreover, we prove convergence of our methods assuming only local Lipschitzness of the gradient. In addition, the proposed versions allow for even larger stepsizes than those initially suggested in [MM20].
Cite
@article{arxiv.2308.02261,
title = {Adaptive Proximal Gradient Method for Convex Optimization},
author = {Yura Malitsky and Konstantin Mishchenko},
journal= {arXiv preprint arXiv:2308.02261},
year = {2024}
}