Accelerated Affine-Invariant Convergence Rates of the Frank-Wolfe Algorithm with Open-Loop Step-Sizes
Elias Wirth, Javier Pena, Sebastian Pokutta
TL;DR
All known non-affine-invariant convergence rates for Frank-Wolfe algorithm with open-loop step-sizes with affine invariance are extended to affine-Invariant results.
Abstract
Recent papers have shown that the Frank-Wolfe algorithm (FW) with open-loop step-sizes exhibits rates of convergence faster than the iconic $\mathcal{O}(t^{-1})$ rate. In particular, when the minimizer of a strongly convex function over a polytope lies in the relative interior of a feasible region face, the FW with open-loop step-sizes $η_t = \frac{\ell}{t+\ell}$ for $\ell \in \mathbb{N}_{\geq 2}$ has accelerated convergence $\mathcal{O}(t^{-2})$ in contrast to the rate $Ω(t^{-1-ε})$ attainable with more complex line-search or short-step step-sizes. Given the relevance of this scenario in data science problems, research has grown to explore the settings enabling acceleration in open-loop FW. However, despite FW's well-known affine invariance, existing acceleration results for open-loop FW are affine-dependent. This paper remedies this gap in the literature by merging two recent research trajectories: affine invariance (Wirth et al., 2023b) and open-loop step-sizes (Pena, 2021). In particular, we extend all known non-affine-invariant convergence rates for FW with open-loop step-sizes to affine-invariant results.