On the Convergence Analysis of the Optimized Gradient Method

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• 作者：Donghwan Kim ; Jeffrey A. Fessler
• 关键词：First ; order algorithms ; Optimized gradient method ; Convergence bound ; Smooth convex minimization ; Worst ; case performance analysis
• 刊名：Journal of Optimization Theory and Applications
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：172
• 期：1
• 页码：187-205
• 全文大小：
• 刊物主题：Calculus of Variations and Optimal Control; Optimization; Optimization; Theory of Computation; Applications of Mathematics; Engineering, general; Operation Research/Decision Theory;
• 出版者：Springer US
• ISSN：1573-2878
• 卷排序：172

文摘

This paper considers the problem of unconstrained minimization of smooth convex functions having Lipschitz continuous gradients with known Lipschitz constant. We recently proposed the optimized gradient method for this problem and showed that it has a worst-case convergence bound for the cost function decrease that is twice as small as that of Nesterov’s fast gradient method, yet has a similarly efficient practical implementation. Drori showed recently that the optimized gradient method has optimal complexity for the cost function decrease over the general class of first-order methods. This optimality makes it important to study fully the convergence properties of the optimized gradient method. The previous worst-case convergence bound for the optimized gradient method was derived for only the last iterate of a secondary sequence. This paper provides an analytic convergence bound for the primary sequence generated by the optimized gradient method. We then discuss additional convergence properties of the optimized gradient method, including the interesting fact that the optimized gradient method has two types of worst-case functions: a piecewise affine-quadratic function and a quadratic function. These results help complete the theory of an optimal first-order method for smooth convex minimization.