Spectral Frank-Wolfe Algorithm: Strict Complementarity and Linear Convergence

Lijun Ding, Yingjie Fei, Qiantong Xu, Chengrun Yang

Abstract: We develop a novel variant of the classical Frank-Wolfe algorithm, which we call spectral Frank-Wolfe, for convex optimization over a spectrahedron. The spectral Frank-Wolfe algorithm has a novel i...