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arXiv · 1606.09365

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

Etienne de Klerk·François Glineur·Adrien B. Taylor
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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 give the tight worst-case complexity bound for 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 proofs are computer-assisted, and rely on the resolutions 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].

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Etienne de Klerk, François Glineur, Adrien B. Taylor. 2016-06-30. On the worst-case complexity of the gradient method with exact line search for smooth strongly convex functions. https://arxiv.org/abs/1606.09365

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