Incorporating a so-called ``momentum'' dynamic in gradient descent methods is widely used in neural net training as it has been broadly observed that, at least empirically, it often leads to significantly faster convergence. At the same time, there are very few theoretical guarantees in the literature to explain this apparent acceleration effect. Even for the classical strongly convex quadratic problems, several existing results only show Polyak's momentum has an accelerated linear rate asymptotically. In this paper, we first revisit the quadratic problems and show a non-asymptotic accelerated linear rate of Polyak's momentum. Then, we provably show that Polyak's momentum achieves acceleration for training a one-layer wide ReLU network and a deep linear network, which are perhaps the two most popular canonical models for studying optimization and deep learning in the literature. Prior works (Du et al. 2019) and (Wu et al. 2019) showed that using vanilla gradient descent, and with an use of over-parameterization, the error decays as $(1- \Theta(\frac{1}{ \kappa'}))^t$ after $t$ iterations, where $\kappa'$ is the condition number of a Gram Matrix. Our result shows that with the appropriate choice of parameters Polyak's momentum has a rate of $(1-\Theta(\frac{1}{\sqrt{\kappa'}}))^t$. For the deep linear network, prior work (Hu et al. 2020) showed that vanilla gradient descent has a rate of $(1-\Theta(\frac{1}{\kappa}))^t$, where $\kappa$ is the condition number of a data matrix. Our result shows an acceleration rate $(1- \Theta(\frac{1}{\sqrt{\kappa}}))^t$ is achievable by Polyak's momentum. This work establishes that momentum does indeed speed up neural net training.

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