Analysis of the Frank-Wolfe Method for Convex Composite Optimization involving a Logarithmically-Homogeneous Barrier
We present and analyze a new generalized Frank-Wolfe method for the composite optimization problem (P): F*:= min_x f(Ax) + h(x), where f is a \theta-logarithmically-homogeneous self-concordant barrier and the function h has bounded domain but is possibly non-smooth. We show that our generalized Frank-Wolfe method requires O((Gap_0 + \theta + Var_h)\ln(\delta_0) + (\theta + Var_h)^2/\epsilon) … Read more