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Frank–Wolfe algorithm

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The Frank-Wolfe algorithm, also known as the Convex Combination algorithm, is a classic algorithm in Operations Research. It was originally proposed by Marguerite Frank and Phil Wolfe in 1956 as a procedure for solving quadratic programming problems with linear constraints. The method is a feasible direction method and each step involves a linearization of the objective function; it ends after a finite number of steps when the Karush-Kuhn-Tucker conditions are satisfied. It can be seen as a generalization of the Simplex Method for Linear Programming. It has been found especially useful for determining the equilibrium flows for transportation networks.

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