
#1
September 22nd, 2019,
01:13
Consider a function $f\in\mathcal{C}^2$ with Lipschitz continuous gradient (with constant $L$) we also assume the function is lowerbounded and has at least one minimum. Let $\{x^k\}_k$ be the sequence generated by Gradient Descent algorithm with initial point $x^0$ and stepsize $0<\alpha<2/L$:
\begin{equation}
x^{k+1}=x^k\alpha\nabla f (x^k).
\end{equation}
We know that the sequence will converge to a critical point.
Now consider the new function $\tilde{f}(x)=f(x)+x'Ax$ with some $A\succeq\mathbf{0}$. Let $\{\tilde{x}^k\}_k$ be the sequence generated by Gradient Descent algorithm with **the same** initial point $\tilde{x}^0=x^0$ and stepsize $0<\alpha<2/L$:
\begin{equation}
\tilde{x}^{k+1}=\tilde{x}^k\alpha\nabla \tilde{f} (\tilde{x}^k).
\end{equation}
**Can we prove that $\mathrm{dist}\left(\{\tilde{x}^k\}_k,\{{x}^k\}_k\right)$ is uniformly bounded, independent of $A$ and stepsize $\alpha$?**
I tried to prove it by assuming existence of a compact sublevel set $\mathcal{L}=\{x:f(x)\leq f(x^0)\}$ and using the fact that Gradient Descent generates a decreasing sequence of objective values (implying that the sequence remains in the compact sublevel set). However I cannot prove existence of a set independent of both $A$ and $\alpha$.

September 22nd, 2019 01:13
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