OPTproj Zeroth-Order Frank Wolfe algorithm Useful material: bz2 reader https://www.tutorialspoint.com/python-support-for-bzip2-compression-bz2 FW-1 python implementation https://github.com/serena049/Implementation-of-the-Frank-Wolfe-Algorithm/blob/master/FW.py https://gist.github.com/fabianp/0a3cbf128ffb4b651bd679baadc0949b https://www.biostars.org/p/153013/