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A Dynamical Systems Perspective on Nesterov Acceleration

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arxiv 1905.07436 v1 pith:3ZZBULTA submitted 2019-05-17 math.OC cs.LGcs.SYeess.SYstat.ML

classification math.OCcs.LGcs.SYeess.SYstat.ML
keywords accelerationnesterovdifferentialdynamicalequationphenomenonacceleratedanalysis
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We present a dynamical system framework for understanding Nesterov's accelerated gradient method. In contrast to earlier work, our derivation does not rely on a vanishing step size argument. We show that Nesterov acceleration arises from discretizing an ordinary differential equation with a semi-implicit Euler integration scheme. We analyze both the underlying differential equation as well as the discretization to obtain insights into the phenomenon of acceleration. The analysis suggests that a curvature-dependent damping term lies at the heart of the phenomenon. We further establish connections between the discretized and the continuous-time dynamics.

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Cited by 2 Pith papers

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    A finite-sampling neural architecture is dense in the Hilbert space of square-integrable predictable processes and attains best-N-term chaoslet rates for compressible or Malliavin-regular processes.

  2. Proximal gradient flow and Douglas-Rachford splitting dynamics: global exponential stability via integral quadratic constraints

    math.OC 2019-08 conditional novelty 5.0 of 10

    Continuous-time proximal gradient and Douglas-Rachford splitting flows are shown to be globally exponentially stable using integral quadratic constraints, with explicit rates.

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