Accelerated Mirror Descent in Continuous and Discrete Time

Part of Advances in Neural Information Processing Systems 28 (NIPS 2015)

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Authors

Walid Krichene, Alexandre Bayen, Peter L. Bartlett

Abstract

We study accelerated mirror descent dynamics in continuous and discrete time. Combining the original continuous-time motivation of mirror descent with a recent ODE interpretation of Nesterov's accelerated method, we propose a family of continuous-time descent dynamics for convex functions with Lipschitz gradients, such that the solution trajectories are guaranteed to converge to the optimum at a $O(1/t^2)$ rate. We then show that a large family of first-order accelerated methods can be obtained as a discretization of the ODE, and these methods converge at a $O(1/k^2)$ rate. This connection between accelerated mirror descent and the ODE provides an intuitive approach to the design and analysis of accelerated first-order algorithms.