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Global convergence of the Heavy-ball method for convex optimization

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arxiv 1412.7457 v1 pith:TEPPOOOA submitted 2014-12-23 math.OC

classification math.OC
keywords convergenceconvexglobalheavy-ballfunctioniteratesmethodobjective
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abstract

This paper establishes global convergence and provides global bounds of the convergence rate of the Heavy-ball method for convex optimization problems. When the objective function has Lipschitz-continuous gradient, we show that the Cesaro average of the iterates converges to the optimum at a rate of $O(1/k)$ where k is the number of iterations. When the objective function is also strongly convex, we prove that the Heavy-ball iterates converge linearly to the unique optimum.

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    A Lyapunov framework yields O(1/log T) and O(log T/T) gradient-norm rates for Schedule-Free on smooth nonconvex objectives, with the faster rate depending on an unproven assumption.

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