Dykstra's projection algorithm

Not to be confused with Dijkstra's 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.

References

• Boyle, J. P.; Dykstra, R. L. (1986). "A method for finding projections onto the intersection of convex sets in Hilbert spaces". Lecture Notes in Statistics (37): 28–47.