Stochastic Frank-Wolfe Methods for Nonconvex Optimization

All the previous blog entries around the Frank-Wolfe can be found under this Frank-Wolfe tag.

Stochastic Frank-Wolfe Methods for Nonconvex Optimization by Sashank J. Reddi, Suvrit Sra, Barnabas Poczos, Alex Smola

We study Frank-Wolfe methods for nonconvex stochastic and finite-sum optimization problems. Frank-Wolfe methods (in the convex case) have gained tremendous recent interest in machine learning and optimization communities due to their projection-free property and their ability to exploit structured constraints. However, our understanding of these algorithms in the nonconvex setting is fairly limited. In this paper, we propose nonconvex stochastic Frank-Wolfe methods and analyze their convergence properties. For objective functions that decompose into a finite-sum, we leverage ideas from variance reduction techniques for convex optimization to obtain new variance reduced nonconvex Frank-Wolfe methods that have provably faster convergence than the classical Frank-Wolfe method. Finally, we show that the faster convergence rates of our variance reduced methods also translate into improved convergence rates for the stochastic setting.

h/t Atlas Wang 

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