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A Differential Equation for Modeling Nesterov’s Accelerated Gradient Method: Theory and Insights
Weijie Su · Stephen Boyd · Emmanuel Candes

Tue Dec 09 07:10 AM -- 07:30 AM (PST) @ Level 2, room 210

We derive a second-order ordinary differential equation (ODE), which is the limit of Nesterov’s accelerated gradient method. This ODE exhibits approximate equivalence to Nesterov’s scheme and thus can serve as a tool for analysis. We show that the continuous time ODE allows for a better understanding of Nesterov’s scheme. As a byproduct, we obtain a family of schemes with similar convergence rates. The ODE interpretation also suggests restarting Nesterov’s scheme leading to an algorithm, which can be rigorously proven to converge at a linear rate whenever the objective is strongly convex.

Author Information

Weijie Su (Stanford University)
Stephen Boyd (Stanford University)
Emmanuel Candes (Stanford University)

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