Global convergence and asymptotic optimality of the heavy ball method for a class of non-convex optimization problems

Abstract

In this letter we revisit the famous heavy ball method and study its global convergence for a class of non-convex problems with sector-bounded gradient. We characterize the parameters that render the method globally convergent and yield the best $R$-convergence factor. We show that for this family of functions, this convergence factor is superior to the factor obtained from the triple momentum method.

6 pages, 4 figures, to appear in CSS Letters