The Frank–Wolfe duality gap certificate
ProofIntermediate⏱ 30 minAdvanced Optimizationfrank-wolfeduality gapstopping criterion
Problem
Show that the quantity computed at each Frank–Wolfe step, where , is an upper bound on . Explain why this makes Frank–Wolfe self-certifying.
Write a complete argument. Every inequality you use should be one you could state precisely.
Solution
Opening this before you have a real attempt on paper is the fastest way to feel like you understand something you cannot reproduce.
Related problems
All problems| Solved | Problem | Field | Type | Difficulty | Time |
|---|---|---|---|---|---|
| The proximal operator of the l1 norm | Advanced Optimization | Proof | 15 min | ||
| A convex problem with a duality gap | Advanced Optimization | Proof | 30 min | ||
| Projection onto the probability simplex | Advanced Optimization | Proof | 1 hour | ||
| Mirror descent on the simplex beats Euclidean projection abyss | Advanced Optimization | Proof | 1 hour |