Mathematics > Optimization and Control
[Submitted on 3 Nov 2023]
Title:A Variational Perspective on High-Resolution ODEs
View PDFAbstract:We consider unconstrained minimization of smooth convex functions. We propose a novel variational perspective using forced Euler-Lagrange equation that allows for studying high-resolution ODEs. Through this, we obtain a faster convergence rate for gradient norm minimization using Nesterov's accelerated gradient method. Additionally, we show that Nesterov's method can be interpreted as a rate-matching discretization of an appropriately chosen high-resolution ODE. Finally, using the results from the new variational perspective, we propose a stochastic method for noisy gradients. Several numerical experiments compare and illustrate our stochastic algorithm with state of the art methods.
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