Groningen-Lyon seminar series : Prof. Juan G. Peypouquet

08Apr2021

Title: A fast convergent first-order method bearing second-order information

14:00 - 15:00

Online (please contact the organizer Bayu Jayawardhana to receive login details)

Speaker: Prof. Juan G. Peypouquet, Bernoulli Institute

Title: A fast convergent first-order method bearing second-order information
Abstract: We propose a model for a class of first-order methods as an inertial system with Hessian-driven damping. The model combines several features of the Levenberg-Marquardt algorithm and Nesterov's acceleration scheme for first-order algorithms. We obtain a second-order system (in time and space), which can be interpreted as a first-order one by an appropriate transformation. The resulting method is easily implementable, more stable than classical accelerated methods, and just as fast.

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