Momentum Acceleration in the Individual Convergence of Nonsmooth Convex Optimization With Constraints.

Momentum technique has recently emerged as an effective strategy in accelerating convergence of gradient descent (GD) methods and exhibits improved performance in deep learning as well as regularized learning. Typical momentum examples include Nesterov's accelerated gradient (NAG) and heavy-ball (HB) methods. However, so far, almost all the acceleration analyses are only limited to NAG, and a few investigations about the acceleration of HB are reported. In this article, we address the convergence about the last iterate of HB in nonsmooth optimizations with constraints, which we name individual convergence. This question is significant in machine learning, where the constraints are required to impose on the learning structure and the individual output is needed to effectively guarantee this structure while keeping an optimal rate of convergence. Specifically, we prove that HB achieves an individual convergence rate of O(1/√t) , where t is the number of iterations. This indicates that both of the two momentum methods can accelerate the individual convergence of basic GD to be optimal. Even for the convergence of averaged iterates, our result avoids the disadvantages of the previous work in restricting the optimization problem to be unconstrained as well as limiting the performed number of iterations to be predefined. The novelty of convergence analysis presented in this article provides a clear understanding of how the HB momentum can accelerate the individual convergence and reveals more insights about the similarities and differences in getting the averaging and individual convergence rates. The derived optimal individual convergence is extended to regularized and stochastic settings, in which an individual solution can be produced by the projection-based operation. In contrast to the averaged output, the sparsity can be reduced remarkably without sacrificing the theoretical optimal rates. Several real experiments demonstrate the performance of HB momentum strategy.