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A modified Frank-Wolfe algorithm and its convergence properties

Authors:

Fang Wu Shiquan Wu

Institution:

1. Institute of Applied Mathematics, the Chinese Academy of Sciences, 100080, Beijing, China

Abstract:

This paper modifies the Frank-Wolfe's algorithm. Under weaker conditions it proves that the modified algorithm is convergent, and specially under the assumption of convexity of the objective function that

$\mathop {\lim }\limits_{k \to \infty } f(x^k ) = \mathop {\inf }\limits_{x \in R} f(x)$

Keywords:	Nonlinear programming Frank-Wolfe algorithm convergence properties
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