A unified high-resolution ODE framework for first-order methods

Abstract

For a generic discrete-time algorithm (DTA): $z^+=g(z,s)$, where $s$ is the step size, Lu (Math. Program., 194(1):1061--1112, 2022) proposed an $O(s^r)$-resolution ordinary differential equation (ODE) framework based on the backward error analysis, which can be used to analyze many DTAs satisfying the fixed point assumption $g(z,0)=z$ such as gradient descent, extra gradient method and primal-dual hybrid gradient (PDHG). However, most first-order methods with momentum violate this critical assumption. To address this issue, in this work, we introduce a novel $O((\sqrt{s})^r)$-resolution ODE framework for accelerated first-order methods allowing momentum and variable parameters, such as Nesterov accelerated gradient (NAG), heavy-ball (HB) method and accelerated mirror gradient. The proposed high-resolution framework provides deeper insight into the convergence properties of DTAs. Especially, although the $O(1)$-resolution ODEs for HB and NAG are identical, their $O(\sqrt{s})$-resolution ODEs differ from the subtle existence of the Hessian-driven damping. Moreover, we propose a high-resolution correction approach and apply it to PDHG and HB for provably convergent modifications that achieve global optimal convergence rates. Numerical results are reported to confirm the theoretical predictions.