Вивчайте Nesterov Acceleration | Momentum and Acceleration

Nesterov acceleration, also known as Nesterov Accelerated Gradient (NAG), is a refinement of the standard momentum method used in gradient-based optimization. To understand its derivation, start by recalling the standard momentum update:

The parameter update uses both the current gradient and a velocity term;
The velocity accumulates gradients with exponential decay, smoothing the trajectory;
The parameter is then updated by the velocity.

Mathematically, standard momentum is expressed as:

Let: $v_{t+1} = \mu v_t - \eta \nabla f(x_t)$
Update parameters: $x_{t+1} = x_t + v_{t+1}$

Here, $\mu$ is the momentum coefficient (typically between 0.5 and 0.99) and $\eta$ is the learning rate.

Nesterov acceleration modifies this by calculating the gradient not at the current position, but at a lookahead position. This subtle change gives NAG a predictive quality:

Compute a lookahead position: $x_{\raisebox{-1pt}{$t$}} + \mu v_{\raisebox{-1pt}{$t$}}$ ;
Evaluate the gradient at this lookahead point;
Update the velocity and parameters accordingly.

The Nesterov update equations are:

$v_{\raisebox{-1pt}{$t+1$}} = \mu v_{\raisebox{-1pt}{$t$}} - \eta \nabla f(x_{\raisebox{-1pt}{$t$}} + \mu v_{\raisebox{-1pt}{$t$}})$
$x_{\raisebox{-1pt}{$t+1$}} = x_{\raisebox{-1pt}{$t$}} + v_{\raisebox{-1pt}{$t+1$}}$

This modification means NAG anticipates the future position, leading to better-informed updates, especially in regions where the loss function curves sharply. Compared to standard momentum, NAG tends to provide:

Faster convergence in many convex and non-convex problems;
More stable optimization paths, reducing overshooting near minima;
Enhanced responsiveness to changes in the gradient's direction.

The main difference lies in where the gradient is evaluated: standard momentum uses the current parameters, while Nesterov momentum looks ahead by the momentum term before computing the gradient. This leads to more accurate and adaptive updates.

Definition

Nesterov acceleration's key innovation is the lookahead property, before updating, it evaluates the gradient at a predicted future position instead of the current one. This anticipatory step allows the optimizer to "see" further along the optimization path, often resulting in smoother, more stable convergence and reducing the risk of overshooting minima.


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import numpy as np
import matplotlib.pyplot as plt

def f(x, y):
    return 0.5 * x**2 + 2 * y**2

def grad_f(x, y):
    return np.array([x, 4*y])

def optimize_path(optimizer, steps=30, lr=0.2, mu=0.9):
    x, y = 2.0, 2.0
    v_x, v_y = 0.0, 0.0
    path = [(x, y)]
    for _ in range(steps):
        if optimizer == 'momentum':
            grad = grad_f(x, y)
            v_x = mu * v_x - lr * grad[0]
            v_y = mu * v_y - lr * grad[1]
            x += v_x
            y += v_y
        elif optimizer == 'nesterov':
            lookahead_x = x + mu * v_x
            lookahead_y = y + mu * v_y
            grad = grad_f(lookahead_x, lookahead_y)
            v_x = mu * v_x - lr * grad[0]
            v_y = mu * v_y - lr * grad[1]
            x += v_x
            y += v_y
        path.append((x, y))
    return np.array(path)

path_momentum = optimize_path('momentum')
path_nesterov = optimize_path('nesterov')

# Plot contours of the function
x_grid = np.linspace(-2, 2, 100)
y_grid = np.linspace(-2, 2, 100)
X, Y = np.meshgrid(x_grid, y_grid)
Z = f(X, Y)

plt.figure(figsize=(7, 6))
plt.contour(X, Y, Z, levels=20, cmap='gray')
plt.plot(path_momentum[:, 0], path_momentum[:, 1], 'o-', label='Momentum', color='blue')
plt.plot(path_nesterov[:, 0], path_nesterov[:, 1], 'o-', label='Nesterov', color='orange')
plt.scatter([0], [0], color='red', label='Minimum', zorder=10)
plt.legend()
plt.title('Optimization Paths: Momentum vs Nesterov Acceleration')
plt.xlabel('x')
plt.ylabel('y')
plt.show()

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The parameter update uses both the current gradient and a velocity term;
The velocity accumulates gradients with exponential decay, smoothing the trajectory;
The parameter is then updated by the velocity.