A Fast and Scalable Polyatomic Frank-Wolfe Algorithm for the LASSO
Adrian Jarret,
Julien Fageot,
Matthieu Simeoni
Abstract:We propose a fast and scalable polyatomic Frank-Wolfe (P-FW) algorithm for the resolution of high-dimensional LASSO regression problems. The latter improves upon traditional Frank-Wolfe methods by considering generalized greedy steps with polyatomic (i.e. linear combinations of multiple atoms) update directions, hence allowing for a more efficient exploration of the search space. To preserve sparsity of the intermediate iterates, we moreover re-optimize the LASSO problem over the set of selected atoms at each … Show more
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