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In Introductory Lectures in Convex Optimization by Yurii Nesterov, Section 1.2.3 shows that gradient descent is guaranteed to converge if the step size is chosen either with a fixed step size or chosen by the Goldstein-Armijo rule.

Do you know if there exists conditions on a variable step size (upper/lower bounds?) which guarantees the convergence of gradient descent? (The conditions need not guarantee convergence to a local minimum, just to a stationary point). Thank you!

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  • $\begingroup$ Can you be more specific? I am sure this plenty of literature out there already. Do you mean to choose the LR arbitrarily at each step but within a certain interval? $\endgroup$ Commented Oct 14, 2024 at 21:31
  • $\begingroup$ Not exactly - I'm working on a project for which I have an upper bound on the learning rate already and I want to ensure that gradient descent will still converge even if my upper bound gets small. Do you know if there are conditions on a variable step size, for example a maximum rate it decays, for which GD can still converge to a stationary point? $\endgroup$ Commented Oct 15, 2024 at 5:40
  • $\begingroup$ I think the usual condition will be that the step sizes are not summable. Check for example Bertsekas' Nonlinear Programming Proposition 1.2.3. $\endgroup$ Commented Oct 15, 2024 at 14:04

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