An Extension of the Frank and Wolfe Method of Feasible Directions

An Extension of the Frank and Wolfe Method of Feasible Directions

1972Working Paper No. 118

The Frank and Wolfe method of feasible directions is shown to be a case of the more general computational approach of inner linearization followed by restriction. An extension is proposed based on this observation. The extended procedure converges, and under certain conditions the asymptotic convergence rate is geometric. Limited computational experience comparing the two procedures is reported.