Frank–Wolfe algorithm: Difference between revisions

Revision as of 20:00, 13 November 2005

Revision as of 20:05, 13 November 2005

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The '''Frank-Wolfe algorithm''', also known as the Convex Combination algorithm, is a classic algorithm in [[Operations Research]]. It was originally proposed by Marguerite Frank and Phil Wolfe in 1956 as a procedure for solving [[quadratic programming]] problems with linear constraints. The method is a feasible direction method and each step involves a linearization of the objective function; it ends after a finite number of steps when the Karush-Kuhn-Tucker conditions are satisfied. It can be seen as a generalization of the [[Simplex MethodAlgorithm]] for Linear Programming. It has been found especially useful for determining the equilibrium flows for transportation networks.

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