Part of Advances in Neural Information Processing Systems 29 (NIPS 2016)
Damien Scieur, Alexandre d'Aspremont, Francis Bach
We describe a convergence acceleration technique for generic optimization problems. Our scheme computes estimates of the optimum from a nonlinear average of the iterates produced by any optimization method. The weights in this average are computed via a simple and small linear system, whose solution can be updated online. This acceleration scheme runs in parallel to the base algorithm, providing improved estimates of the solution on the fly, while the original optimization method is running. Numerical experiments are detailed on classical classification problems.