, Volume 35, Issue 1, pp 110-119

Some comments on Wolfe's ‘away step’

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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.

Research supported by FCAC (Québec) and NSERC (Canada).