The stochastic Ravine accelerated gradient method with general extrapolation coefficients

Abstract: In a real Hilbert space domain setting, we study the convergence properties of the stochastic Ravine accelerated gradient method for convex differentiable optimization. We consider the general form of this algorithm where the extrapolation coefficients can vary with each iteration, and where the evaluation of the gradient is subject to random errors. This general treatment models a breadth of practical algorithms and numerical implementations. We show that, under a proper tuning of the extrapolation parameters, and when the error variance associated with the gradient evaluations or the step-size sequences vanish sufficiently fast, the Ravine method provides fast convergence of the values both in expectation and almost surely. We also improve the convergence rates from $O(\cdot)$ to $o(\cdot)$. Moreover, we show almost sure summability property of the gradients, which implies the fast convergence of the gradients towards zero. This property reflects the fact that the high-resolution ODE of the Ravine method includes a Hessian-driven damping term. When the space is also separable, our analysis allows also to establish almost sure weak convergence of the sequence of iterates provided by the algorithm. We finally specialize the analysis to consider different parameter choices, including vanishing and constant (heavy ball method with friction) damping parameter, and present a comprehensive landscape of the tradeoffs in speed and accuracy associated with these parameter choices and statistical properties on the sequence of errors in the gradient computations. We provide a thorough discussion of the similarities and differences with the Nesterov accelerated gradient which satisfies similar asymptotic convergence rates.

Comment: The insight and motivation for the study of the Ravine method, in light of its resemblance to Nesterov’s, as well as many of the derivations in this paper, were the work of our beloved friend and colleague Hedy Attouch. As one of the final contributions of Hedy’s long and illustrious career before his unfortunate recent departure, the other authors are fortunate to have worked with him on this topic, and hope that the polished manuscript is a valuable step in honoring his legacy.



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