Frank–Wolfe and friends: a journey into projection-free first-order optimization methods
Immanuel M. Bomze, Francesco Rinaldi, Damiano Zeffiro
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.
Topics & Concepts
Simple (philosophy)Computer scienceOrder (exchange)Range (aeronautics)Operations researchEpistemologyMathematicsPhilosophyEngineeringEconomicsAerospace engineeringFinanceSparse and Compressive Sensing TechniquesAdvanced Optimization Algorithms ResearchBlind Source Separation Techniques