Synthesis of accelerated gradient algorithms for optimization and saddle point problems using Lyapunov functions and LMIs

Abstract

This paper considers the problem of designing accelerated gradient-based algorithms for optimization and saddle-point problems. The class of objective functions is defined by a generalized sector condition. This class of functions contains strongly convex functions with Lipschitz gradients but also non-convex functions, which allows not only to address optimization problems but also saddle-point problems. The proposed design procedure relies on a suitable class of Lyapunov functions and, for a fixed convergence rate, is a convex semi-definite program in all but one scalar parameter. The proposed synthesis allows the design of algorithms that reach the performance of state-of-the-art accelerated gradient methods and beyond.