Frank-Wolfe Style Algorithms for Large Scale Optimization

Lijun Ding; Madeleine Udell

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arXiv · 1808.05274

Frank-Wolfe Style Algorithms for Large Scale Optimization

Lijun Ding·Madeleine Udell

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Abstract

We introduce a few variants on Frank-Wolfe style algorithms suitable for large scale optimization. We show how to modify the standard Frank-Wolfe algorithm using stochastic gradients, approximate subproblem solutions, and sketched decision variables in order to scale to enormous problems while preserving (up to constants) the optimal convergence rate $\mathcal{O}(\frac{1}{k})$.

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Lijun Ding, Madeleine Udell. 2018-08-15. Frank-Wolfe Style Algorithms for Large Scale Optimization. https://arxiv.org/abs/1808.05274

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