On the Global Linear Convergence of Frank-Wolfe Optimization Variants

Authors: Simon Lacoste-Julien, Martin Jaggi

Appears in: Advances in Neural Information Processing Systems 28 (NIPS 2015). 26 pages

Results of the summarizing process for the arXiv paper: 1511.05932v1

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The Frank-Wolfe (FW) optimization algorithm has regained popularity for its effectiveness in handling structured constraints in machine learning applications. However, a known drawback is its slow convergence rate, especially at the boundary. To address this issue, an enhancement involves incorporating 'away steps' during optimization without needing a feasibility oracle. In their paper titled "On the Global Linear Convergence of Frank-Wolfe Optimization Variants," authors Simon Lacoste-Julien and Martin Jaggi delve into various successful variants of the FW algorithm. These include away-steps FW, pairwise FW, fully-corrective FW, and Wolfe's minimum norm point algorithm. The authors prove for the first time that these variants exhibit global linear convergence under a weaker condition than strong convexity of the objective function. One key highlight is the elegant interpretation of the constant in the convergence rate as a product of the classical condition number of the function and a novel geometric quantity serving as a 'condition number' for the constraint set. This unique perspective sheds light on efficient optimization with FW variants. Furthermore, Lacoste-Julien and Jaggi offer practical examples where these algorithms have made significant impacts in optimizing flow polytopes, marginal polytopes, and base polytopes for submodular optimization. By showcasing real-world applications, they demonstrate how these FW variants can effectively tackle complex optimization problems prevalent in machine learning and related fields. Overall, this paper provides valuable insights into enhancing FW optimization algorithms through innovative approaches and theoretical analysis while emphasizing considering different variants to achieve global linear convergence even in challenging scenarios.
AI-generated keywords: Frank-Wolfe algorithm structured constraints global linear convergence optimization variants machine learning

AI-generated Key Points

  • The Frank-Wolfe (FW) optimization algorithm is effective for handling structured constraints in machine learning applications.
  • A drawback of the FW algorithm is its slow convergence rate, especially at the boundary.
  • An enhancement involves incorporating 'away steps' during optimization without needing a feasibility oracle to address the slow convergence issue.
  • Authors Simon Lacoste-Julien and Martin Jaggi explore successful variants of the FW algorithm, including away-steps FW, pairwise FW, fully-corrective FW, and Wolfe's minimum norm point algorithm.
  • These variants exhibit global linear convergence under a weaker condition than strong convexity of the objective function.
  • The authors provide an elegant interpretation of the constant in the convergence rate as a product of the classical condition number of the function and a novel geometric quantity serving as a 'condition number' for the constraint set.
  • Practical examples are offered where these algorithms have made significant impacts in optimizing flow polytopes, marginal polytopes, and base polytopes for submodular optimization.
  • The paper emphasizes considering different variants to achieve global linear convergence even in challenging scenarios.
Also access our AI generated: Comprehensive summary, Lay summary, Blog-like article; or ask questions about this paper to our AI assistant.

Abstract: The Frank-Wolfe (FW) optimization algorithm has lately re-gained popularity thanks in particular to its ability to nicely handle the structured constraints appearing in machine learning applications. However, its convergence rate is known to be slow (sublinear) when the solution lies at the boundary. A simple less-known fix is to add the possibility to take 'away steps' during optimization, an operation that importantly does not require a feasibility oracle. In this paper, we highlight and clarify several variants of the Frank-Wolfe optimization algorithm that have been successfully applied in practice: away-steps FW, pairwise FW, fully-corrective FW and Wolfe's minimum norm point algorithm, and prove for the first time that they all enjoy global linear convergence, under a weaker condition than strong convexity of the objective. The constant in the convergence rate has an elegant interpretation as the product of the (classical) condition number of the function with a novel geometric quantity that plays the role of a 'condition number' of the constraint set. We provide pointers to where these algorithms have made a difference in practice, in particular with the flow polytope, the marginal polytope and the base polytope for submodular optimization.

Submitted to arXiv on 18 Nov. 2015

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