English

Polytope conditioning and linear convergence of the Frank-Wolfe algorithm

Optimization and Control 2016-12-28 v3

Abstract

It is known that the gradient descent algorithm converges linearly when applied to a strongly convex function with Lipschitz gradient. In this case the algorithm's rate of convergence is determined by the condition number of the function. In a similar vein, it has been shown that a variant of the Frank-Wolfe algorithm with away steps converges linearly when applied to a strongly convex function with Lipschitz gradient over a polytope. In a nice extension of the unconstrained case, the algorithm's rate of convergence is determined by the product of the condition number of the function and a certain condition number of the polytope. We shed new light into the latter type of polytope conditioning. In particular, we show that previous and seemingly different approaches to define a suitable condition measure for the polytope are essentially equivalent to each other. Perhaps more interesting, they can all be unified via a parameter of the polytope that formalizes a key premise linked to the algorithm's linear convergence. We also give new insight into the linear convergence property. For a convex quadratic objective, we show that the rate of convergence is determined by a condition number of a suitably scaled polytope.

Keywords

Cite

@article{arxiv.1512.06142,
  title  = {Polytope conditioning and linear convergence of the Frank-Wolfe algorithm},
  author = {Javier Pena and Daniel Rodriguez},
  journal= {arXiv preprint arXiv:1512.06142},
  year   = {2016}
}
R2 v1 2026-06-22T12:13:46.514Z