Convergence Rate of Frank-Wolfe for Non-Convex Objectives.

We give a simple proof that the Frank-Wolfe algorithm obtains a stationary point at a rate of $O(1/sqrt{t})$ on non-convex objectives with a Lipschitz continuous gradient. Our analysis is affine invariant and is the first, to the best of our knowledge, giving a similar rate to what was already proven for projected gradient methods (though on slightly different measures of stationarity).