Linear convergence of first order methods for non-strongly convex optimization

• Published in: Mathematical programming Vol. 175; no. 1-2; pp. 69 - 107
• Main Authors: Necoara, I., Nesterov, Yu, Glineur, F.
• Format: Journal Article
• Language: English
• Published: Berlin/Heidelberg Springer Berlin Heidelberg 01-05-2019; Springer Nature B.V
• Subjects: Calculus of Variations and Optimal Control; Optimization; Combinatorics; Continuity (mathematics); Convergence; Convex analysis; Convexity; Formulations; Full Length Paper; Linear programming; Linear systems; Mathematical and Computational Physics; Mathematical Methods in Physics; Mathematics; Mathematics and Statistics; Mathematics of Computing; Numerical Analysis; Optimization; Theoretical; 90C06; 90C25; 65K05
• ISSN: 0025-5610; 1436-4646
• DOI: 10.1007/s10107-018-1232-1

The standard assumption for proving linear convergence of first order methods for smooth convex optimization is the strong convexity of the objective function, an assumption which does not hold for many practical applications. In this paper, we derive linear convergence rates of several first order methods for solving smooth non-strongly convex constrained optimization problems, i.e. involving an objective function with a Lipschitz continuous gradient that satisfies some relaxed strong convexity condition. In particular, in the case of smooth constrained convex optimization, we provide several relaxations of the strong convexity conditions and prove that they are sufficient for getting linear convergence for several first order methods such as projected gradient, fast gradient and feasible descent methods. We also provide examples of functional classes that satisfy our proposed relaxations of strong convexity conditions. Finally, we show that the proposed relaxed strong convexity conditions cover important applications ranging from solving linear systems, Linear Programming, and dual formulations of linearly constrained convex problems.