Authors
Zeyuan Allen-Zhu, Elad Hazan, Wei Hu, Yuanzhi Li
Publication date
2017
Journal
Advances in neural information processing systems
Volume
30
Description
We propose a rank-k variant of the classical Frank-Wolfe algorithm to solve convex optimization over a trace-norm ball. Our algorithm replaces the top singular-vector computation (1-SVD) in Frank-Wolfe with a top-k singular-vector computation (k-SVD), which can be done by repeatedly applying 1-SVD k times. Alternatively, our algorithm can be viewed as a rank-k restricted version of projected gradient descent. We show that our algorithm has a linear convergence rate when the objective function is smooth and strongly convex, and the optimal solution has rank at most k. This improves the convergence rate and the total time complexity of the Frank-Wolfe method and its variants.
Total citations
201620172018201920202021202220232024175131411111
Scholar articles
Z Allen-Zhu, E Hazan, W Hu, Y Li - Advances in neural information processing systems, 2017