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What is the relationship between $\mu$-smoothness and Lipschitz-continuous gradient?

A convex function $F : W \to \mathbb R$ is $\mu$-smooth with respect to some $w^*$ if for all $w\in W$: $$ F(w) - F(w^*) \le \frac{\mu}{2}||w-w^*||^2 $$

In https://icml.cc/Conferences/2012/papers/261.pdf the authors write: "Such [$\mu$-smooth] functions arise, for instance, in logistic and leastsquares regression, and in general for learning linear predictors where the loss function has a Lipschitz-continuous gradient"

Suppose I know the Lipschitz constant for $\nabla F$, how does this relate to $\mu$?

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  • $\begingroup$ The definition is not correct: you have to include the term $-\nabla F(w^*)(w-w^*)$ on the left-hand side. In the paper they assume $w^*$ to be the minimum, hence $\nabla F(w^*)=0$. $\endgroup$ – daw Mar 23 '18 at 12:05
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It holds $\mu=L$: $$ |f(x)-f(x^*)-\nabla f(x^*)(x-x^*)| \le\| \int_0^1 \nabla f(x+t(x-x^*))-\nabla f(x^*)dt\| \cdot \|x-x^*\|\\ \le \frac L2 \|x-x^*\|^2. $$

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