no code implementations • 6 Jan 2021 • Gábor Braun, Sebastian Pokutta
In this note we observe that for constrained convex minimization problems $\min_{x \in P}f(x)$ over a polytope $P$, dual prices for the linear program $\min_{z \in P} \nabla f(x) z$ obtained from linearization at approximately optimal solutions $x$ have a similar interpretation of rate of change in optimal value as for linear programming, providing a convex form of sensitivity analysis.
Optimization and Control
2 code implementations • 18 May 2018 • Gábor Braun, Sebastian Pokutta, Dan Tu, Stephen Wright
We present a blended conditional gradient approach for minimizing a smooth convex function over a polytope P, combining the Frank--Wolfe algorithm (also called conditional gradient) with gradient-based steps, different from away steps and pairwise steps, but still achieving linear convergence for strongly convex functions, along with good practical performance.
no code implementations • ICML 2017 • Gábor Braun, Sebastian Pokutta, Daniel Zink
Conditional gradient algorithms (also often called Frank-Wolfe algorithms) are popular due to their simplicity of only requiring a linear optimization oracle and more recently they also gained significant traction for online learning.
no code implementations • 6 Oct 2016 • Gábor Braun, Sebastian Pokutta
For the linear bandit problem, we extend the analysis of algorithm CombEXP from [R. Combes, M. S. Talebi Mazraeh Shahi, A. Proutiere, and M. Lelarge.