Are Convex Optimization Curves Convex?

In this paper, we study when we might expect the optimization curve induced by gradient descent to be \emph{convex} -- precluding, for example, an initial plateau followed by a sharp decrease, making it difficult to decide when optimization should stop. Although such undesirable behavior can certainly occur when optimizing general functions, might it also occur in the benign and well-studied case of smooth convex functions? As far as we know, this question has not been tackled in previous work. We show, perhaps surprisingly, that the answer crucially depends on the choice of the step size. In particular, for the range of step sizes which are known to result in monotonic convergence to an optimal value, there is a regime where the optimization curve will be provably convex, and there is a regime where the curve can be non-convex. We also extend our results to gradient flow, and to the closely-related but different question of whether the gradient norm decreases monotonically.