4 papers
Convergence of the Frank-Wolfe Algorithm for Monotone Variational Inequalities
Matthew Hough
We consider the Frank-Wolfe algorithm for solving variational inequalities over compact, convex sets under a monotone operator and vanishing, nonsummable step sizes. We intro…
Data-Dependent Complexity of First-Order Methods for Support Vector Machines
Matthew Hough, Stephen A. Vavasis
Large-scale problems in data science are often modeled with optimization, and the optimization model is usually solved with first-order methods that may converge at a sublinear rat…
A Primal-Dual Frank-Wolfe Algorithm for Linear Programming
Matthew Hough, Stephen A. Vavasis
We present two first-order primal-dual algorithms for solving saddle point formulations of linear programs, namely FWLP (Frank-Wolfe Linear Programming) and FWLP-P. The former iter…
Model-Based Derivative-Free Methods for Convex-Constrained Optimization
Matthew Hough, Lindon Roberts
We present a model-based derivative-free method for optimization subject to general convex constraints, which we assume are unrelaxable and accessed only through a projection opera…