frank_wolfe.hpp

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#ifndef MLPACK_CORE_OPTIMIZERS_FW_FRANK_WOLFE_HPP
#define MLPACK_CORE_OPTIMIZERS_FW_FRANK_WOLFE_HPP

#include <mlpack/prereqs.hpp>
#include "update_span.hpp"
#include "constr_lpball.hpp"

namespace mlpack {
namespace optimization {

template<
    typename LinearConstrSolverType,
    typename UpdateRuleType>
class FrankWolfe
{
 public:
  FrankWolfe(const LinearConstrSolverType linearConstrSolver,
             const UpdateRuleType updateRule,
             const size_t maxIterations = 100000,
             const double tolerance = 1e-10);

  template<typename FunctionType>
  double Optimize(FunctionType& function, arma::mat& iterate);

  const LinearConstrSolverType& LinearConstrSolver()
      const { return linearConstrSolver; }
  LinearConstrSolverType& LinearConstrSolver() { return linearConstrSolver; }

  const UpdateRuleType& UpdateRule() const { return updateRule; }
  UpdateRuleType& UpdateRule() { return updateRule; }

  size_t MaxIterations() const { return maxIterations; }
  size_t& MaxIterations() { return maxIterations; }

  double Tolerance() const { return tolerance; }
  double& Tolerance() { return tolerance; }

 private:
  LinearConstrSolverType linearConstrSolver;

  UpdateRuleType updateRule;

  size_t maxIterations;

  double tolerance;
};

using OMP = FrankWolfe<ConstrLpBallSolver, UpdateSpan>;

} // namespace optimization
} // namespace mlpack

// Include implementation.
#include "frank_wolfe_impl.hpp"

#endif