Nonlinear Acceleration of Constrained Optimization Algorithms

This paper introduces a novel technique for nonlinear acceleration of first-order methods for constrained convex optimization. Previous studies of nonlinear acceleration have only been able to provide convergence guarantees for unconstrained convex optimization. In contrast, our method is able to avoid infeasibility of the accelerated iterates and retains the theoretical performance guarantees of the unconstrained case. We focus on Anderson acceleration of the classical projected gradient descent (PGD) method, but our techniques can easily be extended to more sophisticated algorithms, such as mirror descent. Due to the presence of a constraint set, the relevant fixed-point mapping for PGD is not differentiable. However, we show that the convergence results for Anderson acceleration of smooth fixed-point iterations can be extended to the non-smooth case under certain technical conditions.