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Preprints, Working Papers, ... Year : 2021

A Continuized View on Nesterov Acceleration

Abstract

We introduce the "continuized" Nesterov acceleration, a close variant of Nesterov acceleration whose variables are indexed by a continuous time parameter. The two variables continuously mix following a linear ordinary differential equation and take gradient steps at random times. This continuized variant benefits from the best of the continuous and the discrete frameworks: as a continuous process, one can use differential calculus to analyze convergence and obtain analytical expressions for the parameters; but a discretization of the continuized process can be computed exactly with convergence rates similar to those of Nesterov original acceleration. We show that the discretization has the same structure as Nesterov acceleration, but with random parameters.
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Dates and versions

hal-03138823 , version 1 (11-02-2021)

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Raphaël Berthier, Francis Bach, Nicolas Flammarion, Pierre Gaillard, Adrien Taylor. A Continuized View on Nesterov Acceleration. 2021. ⟨hal-03138823⟩
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