Affine Invariant Analysis of Frank-Wolfe on Strongly Convex Sets

Published in OPT 2020 @ NeurIPS., 2020

Recommended citation: Kerdreux, T., Liu, L., Lacoste-Julien, S., & Scieur, D. (2020). Affine Invariant Analysis of Frank-Wolfe on Strongly Convex Sets. arXiv preprint. http://lewis-algo.com/files/aifw.pdf

It is known that the Frank-Wolfe (FW) algorithm, which is affine-covariant, enjoys accelerated convergence rates when the constraint set is strongly convex. However, these results rely on norm-dependent assumptions, usually incurring non-affine invariant bounds, in contradiction with FW’s affine-covariant property. In this work, we introduce new structural assumptions on the problem (such as the directional smoothness) and derive an affine invariant, norm-independent analysis of Frank-Wolfe. Based on our analysis, we propose an affine invariant backtracking line-search. Interestingly, we show that typical backtracking line-searches using smoothness of the objective function surprisingly converge to an affine invariant step size, despite using affine-dependent norms in the step size’s computation. This indicates that we do not necessarily need to know the set’s structure in advance to enjoy the affine-invariant accelerated rate. Download paper here