Li-Ping Zhang

Rank-Adaptive and Linearly Convergent Frank--Wolfe Method over Spectrahedron via Nonconvex Oracle

For Frank--Wolfe (FW) methods for convex optimization over the spectrahedron, it remains open whether a block-update variant can be linearly convergent when the update rank never exceeds the (unknown) optimal rank $r^*$ at each iteration. Existing block and spectral FW methods require an update rank at least $r^*$---an...