Mathematical Programming

, Volume 35, Issue 1, pp 110–119

Some comments on Wolfe's ‘away step’

  • Jacques GuéLat
  • Patrice Marcotte
Article

DOI: 10.1007/BF01589445

Cite this article as:
GuéLat, J. & Marcotte, P. Mathematical Programming (1986) 35: 110. doi:10.1007/BF01589445

Abstract

We give a detailed proof, under slightly weaker conditions on the objective function, that a modified Frank-Wolfe algorithm based on Wolfe's ‘away step’ strategy can achieve geometric convergence, provided a strict complementarity assumption holds.

Key words

Convex programmingFrank-Wolfe algorithm

Copyright information

© The Mathematical Programming Society, Inc. 1986

Authors and Affiliations

  • Jacques GuéLat
    • 1
  • Patrice Marcotte
    • 2
  1. 1.Centre de recherche sur les transportsUniversité de MontréalMontréalCanada
  2. 2.Collège Militaire Royal de Saint-Jean and Centre de recherche sur les transportsUniversité de MontréalMontréalCanada