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Frank-Wolfe Style Algorithms for Large Scale Optimization by Ding, Lijun; Udell, Madeleine is a scholarly article available to read on EtoBox.

What is Frank-Wolfe Style Algorithms for Large Scale Optimization about?

We introduce a few variants on Frank-Wolfe style algorithms suitable for large scale optimization. We show how to modify the standard Frank-Wolfe algorithm using stochastic gradients, approximate subproblem solutions, and sketched decision variables in order to scale to enormous problems while preserving (up to constants) the optimal convergence rate $\mathcal{O}(\frac{1}{k})$.

Author

Ding, Lijun; Udell, Madeleine

Published

2018

Language

EN