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Primal-Dual Block Frank-Wolfe by Lei, Qi; Zhuo, Jiacheng; Caramanis, Constantine; Dhillon, Inderjit S.; Dimakis, Alexandros G. is a scholarly article available to read on EtoBox.

What is Primal-Dual Block Frank-Wolfe about?

We propose a variant of the Frank-Wolfe algorithm for solving a class of sparse/low-rank optimization problems. Our formulation includes Elastic Net, regularized SVMs and phase retrieval as special cases. The proposed Primal-Dual Block Frank-Wolfe algorithm reduces the per-iteration cost while maintaining linear convergence rate. The per iteration cost of our method depends on the structural complexity of the solution (i.e. sparsity/low-rank) instead of the ambient dimension. We empirically show that our algorithm outperforms the state-of-the-art methods on (multi-class) classification tasks.

Author

Lei, Qi; Zhuo, Jiacheng; Caramanis, Constantine; Dhillon, Inderjit S.; Dimakis, Alexandros G.

Published

2019

Language

EN