An optimal algorithm for convex minimization problems with nonconstant step-sizes

Abstract

In [1], Nesterov has introduced an optimal algorithm with constant step-size, with is the Lipschitz constant of objective function. The algorithm is proved to converge with optimal rate . In this paper, we propose a new algorithm, which is allowed nonconstant step-sizes . We prove the convergence and convergence rate of the new algorithm. It is proved to have the convergence rate as the original one. The advance of our algorithm is that it is allowed nonconstant step-sizes and give us more free choices of step-sizes, which convergence rate is still optimal. This is a generalization of Nesterov's algorithm. We have applied the new algorithm to solve the problem of finding an approximate solution to the integral equation.