Frank-Wolfe Style Algorithms for Large Scale Optimization

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 $\mathcal{O}(\frac{1}{k})$.

28 pages, 5 figures, a chapter of the book "Large-Scale and Distributed Optimization", Springer's Lecture Notes in Mathematics Series, volume 2227, https://www.springer.com/us/book/9783319974774