Frank–Wolfe algorithm: Difference between revisions

Revision as of 00:10, 22 January 2006

Revision as of 19:19, 20 April 2006

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Step 3. Direction-finding subproblem. Solve for <math>\bar{x_k}</math>

:Minimize <math>\nabla^T f(x_k) \bar{x_k}</math>

:Subject to to <math>\bar{x_k} \epsilon \mathbf{P}</math>

(note that this is a Linear Program. <math>x_k</math> is fixed during Step 3, while the minimization takes place by varying <math>\bar{x_k}</math>).