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Frank-Wolfe Style Algorithms for Large Scale Optimization (1808.05274v1)
Published 15 Aug 2018 in math.OC and stat.ML
Abstract: 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 $\mathcal{O}(\frac{1}{k})$.
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