Asymptotic error in Euler's method with a constant step size. (November 2022)

• Record Type: Journal Article
• Authors: Jerray, Jawher; Saoud, Adnane; Fribourg, Laurent
• Is Part Of: European journal of control. Volume 68(2022)
• Publication Date: 2022-11
• Subjects: Euler's method -- Optimization; Control theory -- Periodicals; Automatic control -- Periodicals; Automatic control -- Mathematics -- Periodicals; Electronic journals; 629.805
• DOI: 10.1016/j.ejcon.2022.100694
• Languages: English
• ISSNs: 0947-3580

Abstract

Abstract: In the gradient descent method, one often focus on the convergence of the sequence generated by the algorithm, but less often on the deviation of these points from the solutions of the original continuous-time differential equation (gradient flow). This also happens when discretizing other ordinary differential equations. In the case of a discretization by explicit Euler's method with a constant step h, we provide here sufficient conditions, in terms of strong monotonicity and co-coercivity, for the deviation between discrete and continuous solutions to tend asymptotically towards zero. This analysis could shed new light on some applications of the gradient descent algorithm.