Active Set Complexity of the Away-Step Frank--Wolfe Algorithm
Immanuel M. Bomze, Francesco Rinaldi, Damiano Zeffiro · SIAM Journal on Optimization · 2020
In this paper, we study active set identification results for the away-step Frank--Wolfe algorithm in different settings. We first prove a local identification property that we apply, in combination with a convergence hypothesis, to get an active set identification result. We then prove, for nonconvex objectives, a novel $O(1/\sqrt{k})$ convergence rate result and active set identification for different step sizes (under suitable assumptions on the set of stationary points). By exploiting those results, we also give explicit active set complexity bounds for both strongly convex and nonconvex objectives. While we initially consider the probability simplex as feasible set, in an appendix we show how to adapt some of our results to generic polytopes.