Accelerated Mirror Descent in Continuous and Discrete Time

Walid Krichene, Alexandre Bayen, Peter L. Bartlett

Neural Information Processing Systems 

We study accelerated mirror descent dynamics in continuous and discrete time. Combining the original continuous-time motivation of mirror descent with a recent ODE interpretation of Nesterov's accelerated method, we propose a family of continuous-time descent dynamics for convex functions with Lipschitz gradients, such that the solution trajectories converge to the optimum at a O(1/t