Section: New Results

An Optimal Affine Invariant Smooth Minimization Algorithmn

Participant : Alexandre d'Aspremont.

We formulate an affine invariant implementation of the algorithm in Nesterov (1983). We show that the complexity bound is then proportional to an affine invariant regularity constant defined with respect to the Minkowski gauge of the feasible set. We also detail matching lower bounds when the feasible set is an ℓp ball. In this setting, our bounds on iteration complexity for the algorithm in Nesterov (1983) are thus optimal in terms of target precision, smoothness and problem dimension. (in collaboration with Cristóbal Guzmán, Martin Jaggi)