A Momentum-Guided Frank-Wolfe Algorithm

Bingcong Li, Mario Coutino, Georgios B. Giannakis, Geert Leus

Research output: Contribution to journalArticlepeer-review

5 Scopus citations

Abstract

With the well-documented popularity of Frank Wolfe (FW) algorithms in machine learning tasks, the present paper establishes links between FW subproblems and the notion of momentum emerging in accelerated gradient methods (AGMs). On the one hand, these links reveal why momentum is unlikely to be effective for FW-type algorithms on general problems. On the other hand, it is established that momentum accelerates FW on a class of signal processing and machine learning applications. Specifically, it is proved that a momentum variant of FW, here termed accelerated Frank Wolfe (AFW), converges with a faster rate {\cal O}(\frac{1}{k^2}) on such a family of problems, despite the same {\cal O}(\frac{1}{k}) rate of FW on general cases. Distinct from existing fast convergent FW variants, the faster rates here rely on parameter-free step sizes. Numerical experiments on benchmarked machine learning tasks corroborate the theoretical findings.

Original languageEnglish (US)
Article number9457128
Pages (from-to)3597-3611
Number of pages15
JournalIEEE Transactions on Signal Processing
Volume69
DOIs
StatePublished - 2021

Bibliographical note

Funding Information:
Manuscript received October 2, 2020; revised April 20, 2021; accepted May 31, 2021. Date of publication June 16, 2021; date of current version June 30, 2021. The associate editor coordinating the review of this manuscript and approving it for publication was Dr. Augusto Aubry. This work was supported by the US National Science Foundation under Grant 19001134, and the European ASPIRE project (project 14926 within the STW OTP programme), and in part by the Netherlands Organization for Scientific Research (NWO). The work of Mario Coutino was supported in part by CONACYT. (Corresponding author: Georgios B. Giannakis.) Bingcong Li and Georgios B. Giannakis are with the Department of Electrical and Computer Engineering and the Digital Technology Center, University of Minnesota, Minneapolis, MN 55455 USA (e-mail: lixx5599@umn.edu; georgios@umn.edu).

Publisher Copyright:
© 1991-2012 IEEE.

Keywords

  • Frank Wolfe method
  • accelerated method
  • conditional gradient method
  • momentum
  • smooth convex optimization

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