A unified analysis on the speedup of accelerated gradient methods: An inertial dynamics approach

Abstract

Nesterov's Accelerated Gradient Method is one of the most popular first order optimization algorithms. When applied to $L$-smooth, $μ$-strongly convex functions, it converges at a rate of $\mathcal{O}\left(\left(1-\sqrt{\fracμ{L}}\right)^{k}\right)$. The more recent {\it Triple Momentum Method} and the {\it Information Theoretic Exact Method} enjoy an improved rate of $\mathcal{O}\left(\left(1-2\sqrt{\fracμ{L}}\right)^{k}\right)$. Their analysis relies on {\it integral quadratic constraints} and {\it performance estimation techniques}, respectively. In this work, we provide a dynamic explanation for this {\it factor 2 speedup} based on the subtle relationships between the coefficients of an inertial system with Hessian-driven damping. The standard explicit discretization of this second order ordinary differential equation produces intuitive variants of Nesterov's method with sped-up convergence rates. The proof strategy allows us to extend the analysis beyond the strongly convex setting to account for convex functions with quadratic growth or the Polyak-Łojasiewicz inequality. Under uniqueness of the minimizer, we establish a factor $\sqrt{2}$ speedup with respect to the state of the art. With no assumption on the set of minimizers, the new convergence rate (asymptotically) matches that of Gradient Descent, a fact that was previously unknown.