Article

Mathematical Programming

, Volume 35, Issue 1, pp 110-119

Some comments on Wolfe's ‘away step’

  • Jacques GuéLatAffiliated withCentre de recherche sur les transports, Université de Montréal
  • , Patrice MarcotteAffiliated withCollège Militaire Royal de Saint-Jean and Centre de recherche sur les transports, Université de Montréal

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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 programming Frank-Wolfe algorithm