Frank–Wolfe and friends: a journey into projection-free first-order optimization methods

Immanuel M. Bomze (), Francesco Rinaldi () and Damiano Zeffiro ()
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Immanuel M. Bomze: Universität Wien
Francesco Rinaldi: Università di Padova
Damiano Zeffiro: Università di Padova

4OR, 2021, vol. 19, issue 3, No 1, 313-345

Abstract: Abstract Invented some 65 years ago in a seminal paper by Marguerite Straus-Frank and Philip Wolfe, the Frank–Wolfe method recently enjoys a remarkable revival, fuelled by the need of fast and reliable first-order optimization methods in Data Science and other relevant application areas. This review tries to explain the success of this approach by illustrating versatility and applicability in a wide range of contexts, combined with an account on recent progress in variants, improving on both the speed and efficiency of this surprisingly simple principle of first-order optimization.

Keywords: First-order methods; Projection-free methods; Structured optimization; Conditional gradient; Sparse optimization; 90C06; 90C25; 90C30 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s10288-021-00493-y

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