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Pré-Publication, Document De Travail Année : 2016

Convergence Rate of Frank-Wolfe for Non-Convex Objectives

Résumé

We give a simple proof that the Frank-Wolfe algorithm obtains a stationary point at a rate of $O(1/\sqrt{t})$ on non-convex objectives with a Lipschitz continuous gradient. Our analysis is affine invariant and is the first, to the best of our knowledge, giving a similar rate to what was already proven for projected gradient methods (though on slightly different measures of stationarity).

Dates et versions

hal-01415335 , version 1 (13-12-2016)

Identifiants

Citer

Simon Lacoste-Julien. Convergence Rate of Frank-Wolfe for Non-Convex Objectives. 2016. ⟨hal-01415335⟩
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