A closed loop gradient descent algorithm applied to Rosenbrock's function

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Publication date: 29 August 2021

Abstract: We introduce a novel adaptive damping technique for an inertial gradient system which finds application as a gradient descent algorithm for unconstrained optimisation. In an example using the non-convex Rosenbrock's function, we show an improvement on existing momentum-based gradient optimisation methods. Also using Lyapunov stability analysis, we demonstrate the performance of the continuous-time version of the algorithm. Using numerical simulations, we consider the performance of its discrete-time counterpart obtained by using the symplectic Euler method of discretisation.

Has companion code repository: https://github.com/SubhransuSekharBhattacharjee-01/Whiplash

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