Polyak Steps for Adaptive Fast Gradient Method

arXiv1906.03056MaRDI QIDQ6320140FDOQ6320140

Alexandre d'Aspremont, Mathieu Barré

Publication date: 7 June 2019

Abstract: Accelerated algorithms for minimizing smooth strongly convex functions usually require knowledge of the strong convexity parameter $mu$. In the case of an unknown $mu$, current adaptive techniques are based on restart schemes. When the optimal value $f^{*}$ is known, these strategies recover the accelerated linear convergence bound without additional grid search. In this paper we propose a new approach that has the same bound without any restart, using an online estimation of strong convexity parameter. We show the robustness of the Fast Gradient Method when using a sequence of upper bounds on $mu$. We also present a good candidate for this estimate sequence and detail consistent empirical results.

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