Frank–Wolfe algorithm: Difference between revisions

Revision as of 07:55, 4 October 2010

Revision as of 21:29, 28 October 2010

Line 10:

'''Step 1.''' Initialization. Let <math>k \leftarrow 0</math> and let <math>x_k \!</math> be any point in <math>\mathbf{P}</math>.

'''Step 2.''' Convergence test. If <math> \nabla f(x_k\mathbf{x})=\frac{1}{2}(E+E^T)\mathbf{x}+\mathbf{h}=\mathbf{0}</math> then Stop, we have found the minimum.

'''Step 3.''' Direction-finding subproblem. The approximation of the problem that is obtained by replacing the function f with its first-order [[Taylor series|Taylor expansion]] around <math>x_k \!</math> is found. Solve for <math>\bar{x}_k</math>: