Constrained minimization via the Frank-Wolfe method #28
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I've implemented Frank-Wolfe solvers for the constraints$||X||_{tr} < t$ and $X \in \mathcal{B}_n$ , the Birkhoff polytope. In both cases, these are just using the vanilla Frank-Wolfe method. I've added a few tests too.
In the future, I'd like to add improved versions of Frank-Wolfe (eg better step sizes, away-step updates), and implement a few more constraints.