Pairwise Conditional Gradients without Swap Steps and Sparser Kernel Herding

The Pairwise Conditional Gradients (PCG) algorithm is a powerful extension of the Frank-Wolfe algorithm leading to particularly sparse solutions, which makes PCG very appealing for problems such as sparse signal recovery, sparse regression, and kernel herding. Unfortunately, PCG exhibits so-called swap steps that might not provide sufficient primal progress. The number of these bad steps is bounded by a function in the dimension and as such known guarantees do not generalize to the infinite-dimensional case, which would be needed for kernel herding. We propose a new variant of PCG, the so-called Blended Pairwise Conditional Gradients (BPCG). This new algorithm does not exhibit any swap steps, is very easy to implement, and does not require any internal gradient alignment procedures. The convergence rate of BPCG is basically that of PCG if no drop steps would occur and as such is no worse than PCG but improves and provides new rates in many cases. Moreover, we observe in the numerical experiments that BPCG’s solutions are much sparser than those of PCG. We apply BPCG to the kernel herding setting, where we derive nice quadrature rules and provide numerical results demonstrating the performance of our method.