Frank-Wolfe algorithm

Nonlinear Distributionally Robust Optimization

  • Rayyan
  • Peyman Mohajerin Esfahani
    • Categories Infinite Dimensional Optimization, Optimization in Data Science, Robust Optimization Tags , ,

    This article focuses on a class of distributionally robust optimization (DRO) problems where, unlike the growing body of the literature, the objective function is potentially non-linear in the distribution. Existing methods to optimize nonlinear functions in probability space use the Frechet derivatives, which present both theoretical and computational challenges. Motivated by this, we propose an … Read more

    On a Frank-Wolfe Approach for Abs-smooth Functions

  • Timo Kreimeier
  • Sebastian Pokutta
  • Andrea Walther
  • Zev Woodstock
    • Categories Constrained Nonlinear Optimization, Nonsmooth Optimization, Other Topics Tags , , , ,

    We propose an algorithm which appears to be the first bridge between the fields of conditional gradient methods and abs-smooth optimization. Our problem setting is motivated by various applications that lead to nonsmoothness, such as $\ell_1$ regularization, phase retrieval problems, or ReLU activation in machine learning. To handle the nonsmoothness in our problem, we propose … Read more