Feature request:- Away Frank Wolf

[kilianFatras]

Hello,

I am writing you today to discuss the possible implementation of Frank Wolf variants which can be interesting to solve the GW problem. While the standard FW converges slowly in O(1/t), other methods converge faster. One of the faster method is the away step Frank Wolf which converges linearly (https://arxiv.org/pdf/1511.05932.pdf).

This was suggested by Thomas Kedreux.