Stochastic Frank-Wolfe for Constrained Finite-Sum Minimization

Geoffrey Négiar, Gideon Dresdner, Alicia Y. Tsai, Laurent El Ghaoui, Francesco Locatello, Robert Freund, Fabian Pedregosa

Abstract: 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 prob...