Prof Ion Necoara
Tue 24 Jan 2017, 12:15 - 13:30
School of Mathematics, James Clerk Maxwell Building, Kings Buildings, room 5323 (5th floor)

If you have a question about this talk, please contact: Sally Galloway (sgallow2)

Prof Ion Necoara

Title: Linear convergence of first order methods for non-strongly convex optimization

Abstract: The standard assumption for proving linear convergence of first order methods for smooth convex optimization is the strong convexity of the objective function, an assumption which does not hold for many practical applications. In this paper, we derive linear convergence rates of several first order methods for solving smooth non-strongly convex constrained optimization problems, i.e. involving an objective function with a Lipschitz continuous gradient that satisfies some relaxed strong convexity condition. In particular, in the case of smooth constrained convex optimization, we provide several relaxations of the strong convexity conditions and prove that they are sufficient for getting linear convergence for several first order methods such as projected gradient, fast gradient and feasible descent methods. We also provide examples of functional classes that satisfy our proposed relaxations of strong convexity conditions. Finally, we show that the proposed relaxed strong convexity conditions cover important applications ranging from solving linear systems, Linear Programming, and dual formulations of linearly constrained convex problems.

This is joint work with Yurii Nesterov (Louvain) and Francois Glineur (Louvain)

Link to paper:


Organizers: Nicolas Loizou and Peter Richtárik

Thanks to CDT in Data Science and School of Mathematics for support