A smoothed Frank-Wolfe algorithm solves oracle-based robust optimization with 4 D^2 M^2 / eps^2 oracle calls and gives the first explicit oracle-call bound for min-max-min robust optimization.
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A Frank-Wolfe Algorithm for Oracle-based Robust Optimization
A smoothed Frank-Wolfe algorithm solves oracle-based robust optimization with 4 D^2 M^2 / eps^2 oracle calls and gives the first explicit oracle-call bound for min-max-min robust optimization.