Nonsmooth Frank-Wolfe using Uniform Affine Approximations

16 Oct 2017  ·  Edward Cheung, Yuying Li ·

Frank-Wolfe methods (FW) have gained significant interest in the machine learning community due to its ability to efficiently solve large problems that admit a sparse structure (e.g. sparse vectors and low-rank matrices). However the performance of the existing FW method hinges on the quality of the linear approximation... This typically restricts FW to smooth functions for which the approximation quality, indicated by a global curvature measure, is reasonably good. In this paper, we propose a modified FW algorithm amenable to nonsmooth functions by optimizing for approximation quality over all affine approximations given a neighborhood of interest. We analyze theoretical properties of the proposed algorithm and demonstrate that it overcomes many issues associated with existing methods in the context of nonsmooth low-rank matrix estimation. read more

PDF Abstract
No code implementations yet. Submit your code now

Tasks


Datasets


  Add Datasets introduced or used in this paper

Results from the Paper


  Submit results from this paper to get state-of-the-art GitHub badges and help the community compare results to other papers.

Methods


No methods listed for this paper. Add relevant methods here