Near-optimal closed-loop method via Lyapunov damping for convex optimization

We introduce an autonomous system with closed-loop damping for first-order convex optimization. While, to this day, optimal rates of convergence are only achieved by non-autonomous methods via open-loop damping (e.g., Nesterov’s algorithm), we show that our system is the first one featuring a closed-loop damping while exhibiting a rate arbitrarily close to the optimal one. … Read more