A geometric alternative to Nesterov's accelerated gradient descent

Sébastien Bubeck; Yin Tat Lee; Mohit Singh

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arXiv · 1506.08187

A geometric alternative to Nesterov's accelerated gradient descent

Sébastien Bubeck·Yin Tat Lee·Mohit Singh

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Abstract

We propose a new method for unconstrained optimization of a smooth and strongly convex function, which attains the optimal rate of convergence of Nesterov's accelerated gradient descent. The new algorithm has a simple geometric interpretation, loosely inspired by the ellipsoid method. We provide some numerical evidence that the new method can be superior to Nesterov's accelerated gradient descent.

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Sébastien Bubeck, Yin Tat Lee, Mohit Singh. 2015-06-26. A geometric alternative to Nesterov's accelerated gradient descent. https://arxiv.org/abs/1506.08187

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