An extension of the frank and Wolfe method of feasible directions

descriptionPublicationkeyboard_double_arrow_right Article 01 Dec 1974 English Publisher:Springer Science and Business Media LLCJournal:Mathematical Programming, volume 6, pages 14-27 (issn: 0025-5610, eissn: 1436-4646,

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Authors: Charles A. Holloway;

doi: 10.1007/bf01580219

An extension of the frank and Wolfe method of feasible directions

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Abstract

The Frank and Wolfe method of feasible directions is shown to be a case of the more general computational approach of inner linearization followed by restriction. An extension is proposed based on this observation. The extended procedure converges, and under certain conditions the asymptotic convergence rate is geometric. Limited computational experience comparing the two procedures is reported.

Related Organizations

Stanford University
United States

Keywords

Convex programming, Numerical mathematical programming methods, Nonlinear programming

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