AdaBB: Adaptive Barzilai-Borwein Method for Convex Optimization

In this paper, we propose AdaBB, an adaptive gradient method based on the Barzilai-Borwein stepsize. The algorithm is line-search-free and parameter-free, and essentially provides a convergent variant of the Barzilai-Borwein method for general unconstrained convex optimization. We analyze the ergodic convergence of the objective function value and the convergence of the iterates for solving general unconstrained convex optimization. Compared with existing works along this line of research, our algorithm gives the best lower bounds on the stepsize and the average of the stepsizes. Moreover, we present an extension of the proposed algorithm for solving composite optimization where the objective function is the summation of a smooth function and a nonsmooth function. Our numerical results also demonstrate very promising potential of the proposed algorithms on some representative examples.