Notes on the Frank-Wolfe Algorithm, Part II: A Primal-dual Analysis

Category: optimization
#Frank-Wolfe #conditional gradient #convergence analysis

This blog post extends the convergence theory from the first part of my notes on the Frank-Wolfe (FW) algorithm with convergence guarantees on the primal-dual gap which generalize and strengthen the convergence guarantees obtained in the first part.

Three Operator Splitting

Category: optimization
#proximal splitting #three operator splitting #convergence analysis

I discuss a recently proposed optimization algorithm: the Davis-Yin three operator splitting.

Notes on the Frank-Wolfe Algorithm, Part I

Category: optimization
#Frank-Wolfe #conditional gradient #convergence analysis

This blog post is the first in a series discussing different theoretical and practical aspects of the Frank-Wolfe algorithm.

$$ \def\xx{\boldsymbol x} \def\yy{\boldsymbol y} \def\ss{\boldsymbol s} \def\dd …

Optimization inequalities cheatsheet

Category: optimization
#optimization #cheatsheet

Most proofs in optimization consist in using inequalities for a particular function class in some creative way. This is a cheatsheet with inequalities that I use most often. It considers …

A fully asynchronous variant of the SAGA algorithm

Category: optimization
#optimization #asynchronous #SAGA

My friend Rémi Leblond has recently uploaded to ArXiv our preprint on an asynchronous version of the SAGA optimization algorithm.

The main contribution is to develop a parallel (fully asynchronous, no locks) variant of the SAGA algorighm. This is a stochastic variance-reduced method for general optimization, specially adapted for problems …

Hyperparameter optimization with approximate gradient

Category: optimization
#machine learning #hyperparameters #HOAG

TL;DR: I describe a method for hyperparameter optimization by gradient descent.

Most machine …