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

Annals of Operations Research, 2024, vol. 343, issue 2, No 3, 607-638

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, both improving on 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 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10479-024-06251-7

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