2020
Stochastic Frank-Wolfe for Constrained Finite-Sum Minimization
Geoffrey Negiar, Gideon Dresdner, Alicia Tsai, Laurent El Ghaoui, Francesco Locatello, Robert Freund +1
ICML 2020poster
We propose a novel Stochastic Frank-Wolfe (a. k. a. conditional gradient) algorithm for constrained smooth finite-sum minimization with a generalized linear prediction/structure. This class of problems includes empirical risk minimization with sparse, low-rank, or other structured constraints. The p…