Drori–Teboulle conjecture for the smooth convex gradient method

Let fF0,L(Rd)f\in\mathcal{F}_{0,L}(\mathbb{R}^d) be a smooth convex function with a minimizer xx_*, let f=f(x)f_*=f(x_*), and let R=x0x2R=\lVert x_0-x_*\rVert_2. For 0h20\leq h\leq 2, the gradient method with normalized step size h/Lh/L generates iterates

xi+1=xihLf(xi).x_{i+1}=x_i-\frac{h}{L}\nabla f(x_i).

Drori–Teboulle conjecture. Every sequence of iterates generated in this way satisfies

f(xN)fLR22max(12Nh+1,(1h)2N).f(x_N)-f_*\leq \frac{LR^2}{2}\max\left(\frac{1}{2Nh+1},(1-h)^{2N}\right).

The conjecture gives the exact worst-case objective accuracy of the fixed-step gradient method. The source states that it was proved for 0h10\leq h\leq 1, while the range 1<h<21<h<2 remained open there; the bound is attained by two explicit one-dimensional functions.

Sources & referencesView supporting material

Primary source

Adrien B. Taylor, Julien M. Hendrickx and François Glineur, “Smooth Strongly Convex Interpolation and Exact Worst-case Performance of First-order Methods”, arXiv:1502.05666 (2016).

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