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

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  • Immanuel. M. Bomze

    (Universität Wien)

  • Francesco Rinaldi

    (Università di Padova)

  • Damiano Zeffiro

    (Università di Padova)

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.

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  • Immanuel. M. Bomze & Francesco Rinaldi & Damiano Zeffiro, 2024. "Frank–Wolfe and friends: a journey into projection-free first-order optimization methods," Annals of Operations Research, Springer, vol. 343(2), pages 607-638, December.
    • Handle: RePEc:spr:annopr:v:343:y:2024:i:2:d:10.1007_s10479-024-06251-7
    DOI: 10.1007/s10479-024-06251-7
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    References listed on IDEAS

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