Accelerated Affine-Invariant Convergence Rates of the Frank-Wolfe Algorithm with Open-Loop Step-Sizes

Elias Wirth, Javier Pena, Sebastian Pokutta

Recent papers have shown that the Frank-Wolfe algorithm (FW) with open-loop step-sizes exhibits rates of convergence faster than the iconic $\mathcal{O}(t^{-1})$ rate. In particula…