Complexity bounds for primal-dual methods minimizing the model of objective function

We provide Frank-Wolfe ($\equiv$ Conditional Gradients) method with a convergence analysis allowing to approach a primal-dual solution of convex optimization problem with composite objective function. Additional properties of complementary part of the objective (strong convexity) significantly accelerate the scheme. We also justify a new variant of this method, which can be seen as a trust-region … Read more