Cyclical step-sizes are becoming increasingly popular in the optimization of deep learning problems. Motivated by recent observations on the spectral gaps of Hessians in machine learning, we show that these step-size schedules offer a simple way to exploit them. More precisely, we develop a convergence rate analysis for quadratic objectives that provides optimal parameters and shows that cyclical learning rates can improve upon traditional lower complexity bounds. We further propose a systematic approach to design optimal first order methods for quadratic minimization with a given spectral structure. Finally, we provide a local convergence rate analysis beyond quadratic minimization for the proposed methods and illustrate our findings through benchmarks on least squares and logistic regression problems.
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