Complexity Guarantees for Polyak Steps with Momentum
Optimization and Control
2020-07-06 v2 Numerical Analysis
Numerical Analysis
Machine Learning
Abstract
In smooth strongly convex optimization, knowledge of the strong convexity parameter is critical for obtaining simple methods with accelerated rates. In this work, we study a class of methods, based on Polyak steps, where this knowledge is substituted by that of the optimal value, . We first show slightly improved convergence bounds than previously known for the classical case of simple gradient descent with Polyak steps, we then derive an accelerated gradient method with Polyak steps and momentum, along with convergence guarantees.
Cite
@article{arxiv.2002.00915,
title = {Complexity Guarantees for Polyak Steps with Momentum},
author = {Mathieu Barré and Adrien Taylor and Alexandre d'Aspremont},
journal= {arXiv preprint arXiv:2002.00915},
year = {2020}
}
Comments
Accepted to COLT2020