Dykstra's projection algorithm

Dykstra's algorithm is a method that computes a point in the intersection of convex sets, and is a variant of the alternating projection method. In its simplest form, the method finds a point in the intersection of two convex sets by iteratively projecting onto each of the convex set; it differs from the alternating projection method in that there are intermediate steps.

The method is named after R. L. Dykstra. This should not be confused with Dijkstra's algorithm, which is named after Edsger W. Dijkstra.

References

J. P. Boyle and R. L. Dykstra, A method for finding projections onto the intersection of convex sets in Hilbert spaces, Lecture Notes in Statistics 37 (1986) 28{47}.