On the Powerball Method for Optimization

We propose a new method to accelerate the convergence of optimization algorithms. This method simply adds a power coefficient γ ∊ [0, 1) to the gradient during optimization. We call this the Powerball method and analyze the convergence rate for the Powerball method for strongly convex functions and show that it has a faster convergence rate than gradient descent and Newton's method in the initial iterations. We also demonstrate that the Powerball method provides a 10-fold speed up of the convergence of both gradient descent and L-BFGS on multiple real datasets.

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