Non-asymptotic superlinear convergence of Nesterov accelerated BFGS

This paper studies the convergence of a Nesterov accelerated variant of the Broyden-Fletcher-Goldfarb-Shanno (NA-BFGS) quasi-Newton method in the setting where the objective function is strongly convex, its gradient is Lipschitz continuous, and its Hessian is Lipschitz continuous at the optimal point. We demonstrate that similar to the classic BFGS method, the Nesterov accelerated BFGS method … Read more