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arxiv 2105.13913 v8 pith:F6NRCPXJ submitted 2021-05-28 math.OC cs.LGstat.ML

Scalable Frank-Wolfe on Generalized Self-concordant Functions via Simple Steps

classification math.OC cs.LGstat.ML
keywords convergencefrank-wolfefunctionsgeneralizedratesimpleavoidscases
verification ladder T0 review T1 audit T2 compute T3 formal T4 reserved
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Generalized self-concordance is a key property present in the objective function of many important learning problems. We establish the convergence rate of a simple Frank-Wolfe variant that uses the open-loop step size strategy $\gamma_t = 2/(t+2)$, obtaining a $\mathcal{O}(1/t)$ convergence rate for this class of functions in terms of primal gap and Frank-Wolfe gap, where $t$ is the iteration count. This avoids the use of second-order information or the need to estimate local smoothness parameters of previous work. We also show improved convergence rates for various common cases, e.g., when the feasible region under consideration is uniformly convex or polyhedral.

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