Adaptive Variant of the Frank-Wolfe Algorithm for Convex Optimization Problems

Abstract

In this paper, a variant of the Frank–Wolfe method for convex optimization problems with adaptive selection of the step parameter corresponding to information about the smoothness of the target function (the Lipschitz constant of the gradient) was investigated. Theoretical estimates of the quality of the approximate solution given out by the method using adaptively selected parameters L_k are obtained. On a class of problems on a convex feasible set with a convex objective function, the guaranteed convergence rate of the proposed method is sublinear. The special subclass of such problems is considered (the objective function with the condition of gradient dominance) and estimate of the convergence rate using adaptively selected parameters L_k is obtained. An important feature of the obtained result is the elaboration of a situation in which it is possible to guarantee, after the completion of the iteration, a reduction of the discrepancy in the function by at least 2 times. At the same time, the use of adaptively selected parameters in theoretical estimates makes it possible to apply the method for both smooth and non-smooth problems, provided that the exit criterion from the iteration is met. For smooth problems, it can be proved that the theoretical estimates of the method are guaranteed to be optimal up to multiplication by a constant factor. Computational experiments were performed, and a comparison with two other algorithms was carried out, during which the efficiency of the algorithm was demonstrated for a number of both smooth and non-smooth problems.