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On a Combination of Alternating Minimization and Nesterov's Momentum
Sergey Guminov · Pavel Dvurechenskii · Nazarii Tupitsa · Alexander Gasnikov

Tue Jul 20 09:00 PM -- 11:00 PM (PDT) @ Virtual #None
Alternating minimization (AM) procedures are practically efficient in many applications for solving convex and non-convex optimization problems. On the other hand, Nesterov's accelerated gradient is theoretically optimal first-order method for convex optimization. In this paper we combine AM and Nesterov's acceleration to propose an accelerated alternating minimization algorithm. We prove $1/k^2$ convergence rate in terms of the objective for convex problems and $1/k$ in terms of the squared gradient norm for non-convex problems, where $k$ is the iteration counter. Our method does not require any knowledge of neither convexity of the problem nor function parameters such as Lipschitz constant of the gradient, i.e. it is adaptive to convexity and smoothness and is uniformly optimal for smooth convex and non-convex problems. Further, we develop its primal-dual modification for strongly convex problems with linear constraints and prove the same $1/k^2$ for the primal objective residual and constraints feasibility.

Author Information

Sergey Guminov (Higher School of Economics)
Pavel Dvurechenskii (Weierstrass Institute)

Graduated with honors from Moscow Institute of Physics and Technology. PhD on differential games in the same university. At the moment research associate in the area of optimization under inexact information in Berlin. Research interest include - algorithms for convex and non-convex large-scale optimization problems; - optimization under deterministic and stochastic inexact information; - randomized algorithms: random coordinate descent, random (derivative-free) directional search; - numerical aspects of Optimal Transport - Algorithms for saddle-point problems and variational inequalities

Nazarii Tupitsa (Institute for Information Transmission Problems)
Alexander Gasnikov (Moscow Institute of Physics and Technology)

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