Backtracking linesearch for conditional gradient sliding

Abstract

We present a modification of the conditional gradient sliding (CGS) method that was originally developed in \cite{lan2016conditional}. While the CGS method is a theoretical breakthrough in the theory of projection-free first-order methods since it is the first that reaches the theoretical performance limit, in implementation it requires the knowledge of the Lipschitz constant of the gradient of the objective function $L$ and the number of total gradient evaluations $N$. Such requirements imposes difficulties in the actual implementation, not only because that it can be difficult to choose proper values of $L$ and $N$ that satisfies the conditions for convergence, but also since conservative choices of $L$ and $N$ can deteriorate the practical numerical performance of the CGS method. Our proposed method, called the conditional gradient sliding method with linesearch (CGS-ls), does not require the knowledge of either $L$ and $N$, and is able to terminate early before the theoretically required number of iterations. While more practical in numerical implementation, the theoretical performance of our proposed CGS-ls method is still as good as that of the CGS method. We present numerical experiments to show the efficiency of our proposed method in practice.