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On the worst-case complexity of the gradient method with exact line search for smooth strongly convex functions

Author

Listed:
  • de Klerk, Etienne

    (Tilburg University, School of Economics and Management)

  • Glineur, Francois
  • Taylor, Adrien

Abstract

We consider the gradient (or steepest) descent method with exact line search applied to a strongly convex function with Lipschitz continuous gradient. We establish the exact worst-case rate of convergence of this scheme, and show that this worst-case behavior is exhibited by a certain convex quadratic function. We also extend the result to a noisy variant of gradient descent method, where exact line-search is performed in a search direction that differs from negative gradient by at most a prescribed relative tolerance. The proof is computer-assisted, and relies on the resolution of semidefinite programming performance estimation problems as introduced in the paper [Y. Drori and M. Teboulle. Performance of first-order methods for smooth convex minimization: a novel approach. Mathematical Programming, 145(1-2):451-482, 2014].
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • de Klerk, Etienne & Glineur, Francois & Taylor, Adrien, 2017. "On the worst-case complexity of the gradient method with exact line search for smooth strongly convex functions," Other publications TiSEM 8cc0e8dd-b6cd-4f4f-9dcb-9, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:8cc0e8dd-b6cd-4f4f-9dcb-9531d5df7a75
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    File URL: https://pure.uvt.nl/ws/portalfiles/portal/19960766/On_the_worst_case_complexity_of_the_gradient_method.pdf
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    Cited by:

    1. André Uschmajew & Bart Vandereycken, 2022. "A Note on the Optimal Convergence Rate of Descent Methods with Fixed Step Sizes for Smooth Strongly Convex Functions," Journal of Optimization Theory and Applications, Springer, vol. 194(1), pages 364-373, July.
    2. Adrien B. Taylor & Julien M. Hendrickx & François Glineur, 2018. "Exact Worst-Case Convergence Rates of the Proximal Gradient Method for Composite Convex Minimization," Journal of Optimization Theory and Applications, Springer, vol. 178(2), pages 455-476, August.
    3. Abbaszadehpeivasti, Hadi & de Klerk, Etienne & Zamani, Moslem, 2022. "The exact worst-case convergence rate of the gradient method with fixed step lengths for L-smooth functions," Other publications TiSEM 061688c6-f97c-4024-bb5b-1, Tilburg University, School of Economics and Management.
    4. Roland Hildebrand, 2021. "Optimal step length for the Newton method: case of self-concordant functions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 94(2), pages 253-279, October.
    5. Sandra S. Y. Tan & Antonios Varvitsiotis & Vincent Y. F. Tan, 2021. "Analysis of Optimization Algorithms via Sum-of-Squares," Journal of Optimization Theory and Applications, Springer, vol. 190(1), pages 56-81, July.

    More about this item

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General

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