Anderson Acceleration of Proximal Gradient Methods

Jul 12, 2020

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Anderson acceleration is a well-established and simple technique for speeding up fixed-point computations with countless applications. This work introduces novel methods for adapting Anderson acceleration to (non-smooth and constrained) proximal gradient algorithms. Under some technical conditions, we extend the existing local convergence results of Anderson acceleration for smooth fixed-point mappings to the proposed scheme. We also prove analytically that it is not, in general, possible to guarantee global convergence of native Anderson acceleration. We therefore propose a simple scheme for stabilization that combines the global worst-case guarantees of proximal gradient methods with the local adaptation and practical speed-up of Anderson acceleration. We also provide the first applications of Anderson acceleration to non-Euclidean geometry.

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The International Conference on Machine Learning (ICML) is the premier gathering of professionals dedicated to the advancement of the branch of artificial intelligence known as machine learning. ICML is globally renowned for presenting and publishing cutting-edge research on all aspects of machine learning used in closely related areas like artificial intelligence, statistics and data science, as well as important application areas such as machine vision, computational biology, speech recognition, and robotics. ICML is one of the fastest growing artificial intelligence conferences in the world. Participants at ICML span a wide range of backgrounds, from academic and industrial researchers, to entrepreneurs and engineers, to graduate students and postdocs.

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