A Lower Bound for the Heavy-Ball Method on Smooth Convex Functions

Abstract: Can the classical Heavy-Ball method, with arbitrary horizon-dependent parameters chosen in advance, achieve Nesterov's $O(T<sup>{-2})$ last-iterate rate on every smooth convex objective? We provide a negative answer. For every horizon $T\ge2$ and every predetermined schedule with nonnegative step sizes and momenta in $[0,1)$, there exists a convex $1$-smooth objective, with initialization distance at most one and zero initial velocity, for which the last iterate of the Heavy-Ball method satisfies [ f(x_T)-f^\star=Ω!\left(\frac{1}{T^α\log T}\right), \qquad α=\frac{1+\sqrt5}{2}. ] Thus even fully nonstationary, horizon-dependent tuning cannot give the classical Heavy-Ball method a Nesterov-rate guarantee on the smooth convex class.