Convergence Rate of Frank-Wolfe for Non-Convex Objectives

07/01/2016

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by   Simon Lacoste-Julien, et al.

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We give a simple proof that the Frank-Wolfe algorithm obtains a stationary point at a rate of O(1/√(t)) on non-convex objectives with a Lipschitz continuous gradient. Our analysis is affine invariant and is the first, to the best of our knowledge, giving a similar rate to what was already proven for projected gradient methods (though on slightly different measures of stationarity).