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Title: Catalyst Acceleration for First-order Convex Optimization: from Theory to Practice
We introduce a generic scheme for accelerating gradient-based optimization methods in the sense of Nesterov. The approach, called Catalyst, builds upon the inexact accelerated proximal point algorithm for minimizing a convex objective function, and consists of approximately solving a sequence of well-chosen auxiliary problems, leading to faster convergence. One of the keys to achieve acceleration in theory and in practice is to solve these sub-problems with appropriate accuracy by using the right stopping criterion and the right warm-start strategy. We give practical guidelines to use Catalyst and present a comprehensive analysis of its global complexity. We show that Catalyst applies to a large class of algorithms, including gradient descent, block coordinate descent, incremental algorithms such as SAG, SAGA, SDCA, SVRG, MISO/Finito, and their proximal variants. For all of these methods, we establish faster rates using the Catalyst acceleration, for strongly convex and non-strongly convex objectives. We conclude with extensive experiments showing that acceleration is useful in practice, especially for ill-conditioned problems.  more » « less
Award ID(s):
1740551
NSF-PAR ID:
10066994
Author(s) / Creator(s):
; ;
Date Published:
Journal Name:
Journal of machine learning research
Volume:
18
ISSN:
1533-7928
Page Range / eLocation ID:
1−54
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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