Year: 2023
Type: preprint
Abstract: We introduce an autonomous system with closed-loop damping for first-order convex optimization. While, to this day, optimal rates of convergence are almost exclusively achieved by non-autonomous methods via open-loop damping (e.g., Nesterov's algorithm), we show that our system, featuring a closed-loop damping, exhibits a rate arbitrarily close to the optimal one. We do so by coupling the damping and the speed of convergence of the system via a well-chosen Lyapunov function. By discretizing our system we then derive an algorithm and present numerical experiments supporting our theoretical findings.
Source: arXiv (Cornell University)
Authors: Maier, Severin, Castera, Camille, Ochs, Peter
Institutions: University of Tübingen, Saarland University
Language: English
Subfield: Computational Theory and Mathematics
Field: Computer Science
Domain: Physical Sciences
Open Access status: green
Awards: G1263035164, G5925985229
OpenAlex ID: W4388788967