Derivatives of inertial methods for smooth functions
Résumé
In this paper, we consider the minimization of a C 2 -smooth and strongly convex objective depending on a given parameter, which is usually found in many practical applications. We suppose that we desire to solve the problem with some inertial methods which cover a broader existing well-known inertial methods. Our main goal is to analyze the derivative of this algorithm as an infinite iterative process in the sense of "automatic" differentiation. This procedure is very common and has gain more attention recently. From a pure optimization perspective and under some mild premises, we show that any sequence generated by these inertial methods converge to the unique minimizer of the problem, which depends on the parameter. Moreover, we show a local linear convergence rate of the generated sequence. Concerning the differentiation of the scheme, we prove that the derivative of the sequence with respect to the parameter converges to the derivative of the limit of the sequence showing that any sequence is «derivative stable». Finally, we investigate the rate at which the convergence occurs. We show that, this is locally linear with an error term tending to zero.
Origine | Fichiers produits par l'(les) auteur(s) |
---|