FrankWolfe.jl - INFORMS Journal of Computing

Primal gap convergence comparison: Minimization of quadratic over Birkhoff polytope. See paper for details.


We present FrankWolfe.jl, an open-source implementation of several popular Frank-Wolfe and Conditional Gradients variants for first-order constrained optimization. The package is designed with flexibility and high-performance in mind, allowing for easy extension and relying on few assumptions regarding the user-provided functions. It supports Julia’s unique multiple dispatch feature, and interfaces smoothly with generic linear optimization formulations using MathOptInterface.jl.

INFORMS Journal of Computing