Efficient first-order methods for convex minimization: a constructive approach

We describe a novel constructive technique for devising efficient first-order methods for a wide range of large-scale convex minimization settings, including smooth, nonsmooth, and strongly convex minimization. This novel design technique takes a method performing a series of subspace-searches and constructs a fixed-step method that has the same worst-case guarantees. We show that this technique yields optimal algorithms in the smooth and nonsmooth cases, and use it to devise a new method for smooth strongly convex minimization with an improved convergence rate as compared to Nesterov's celebrated fast gradient methods.

• Algorithms and Theory