Generalized Frank-Wolfe Algorithm for Bilevel Optimization. (arXiv:2206.08868v1 [math.OC])

Web: http://arxiv.org/abs/2206.08868

In this paper, we study a class of bilevel optimization problems, also known
as simple bilevel optimization, where we minimize a smooth objective function
over the optimal solution set of another convex constrained optimization
problem. Several iterative methods have been developed for tackling this class
of problems. Alas, their convergence guarantees are not satisfactory as they
are either asymptotic for the upper-level objective, or the convergence rates
are slow and sub-optimal. To address this issue, in this paper, we introduce …

algorithm arxiv math optimization