Accelerated First-Order Methods: Differential Equations and Lyapunov Functions

Jonathan W. Siegel

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arXiv · 1903.05671

Accelerated First-Order Methods: Differential Equations and Lyapunov Functions

Jonathan W. Siegel

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Abstract

We develop a theory of accelerated first-order optimization from the viewpoint of differential equations and Lyapunov functions. Building upon the previous work of many researchers, we consider differential equations which model the behavior of accelerated gradient descent. Our main contributions are to provide a general framework for discretizating the differential equations to produce accelerated methods, and to provide physical intuition which helps explain the optimal damping rate. An important novelty is the generality of our approach, which leads to a unified derivation of a wide variety of methods, including versions of Nesterov's accelerated gradient descent, FISTA, and accelerated coordinate descent.

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BibTeX RIS

Jonathan W. Siegel. 2019-03-13. Accelerated First-Order Methods: Differential Equations and Lyapunov Functions. https://arxiv.org/abs/1903.05671

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