Stochastics and Statistics Seminar Rob Freund (MIT Sloan)
An Extended Frank-Wolfe Method with Application to Low-Rank Matrix Completion
We present an extension of the Frank-Wolfe method that is designed to induce near-optimal solutions on low-dimensional faces of the feasible region. We present computational guarantees for the method that trade off efficiency in computing near-optimal solutions with upper bounds on the dimension of minimal faces of iterates. We apply our method to the low-rank…