Frank–Wolfe algorithm: Difference between revisions

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The '''Frank–Wolfe algorithm''', also known as the ''convex combination algorithm'', is a classic algorithm in [[operations research]] (OR). It was originally proposed by Marguerite Frank and Phil Wolfe in 1956 as a procedure for solving [[quadratic programming]] problems with linear constraints. At each step the objective function is linearized and then a step is taketaken in a direction that reduces the objective while maintaining feasibility. The algorithm can be seen as a generalization of the primal [[simplex algorithm]] for [[linear programming]]. In recent years it has been widely used for determining the equilibrium flows in transportation networks.

''Problem statement''