Extension of the Frank-Wolfe algorithm to concave nondifferentiable objective functions

Author:

White D. J.

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Management Science and Operations Research,Control and Optimization

Reference15 articles.

1. Frank, M., andWolfe, P.,An Algorithm for Quadratic Programming, Naval Research Logistics Quarterly, Vol. 3, pp. 95?110, 1956.

2. Rockafellar, R. T.,Convex Analysis, Princeton University Press, Princeton, New Jersey, 1970.

3. Shapiro, J. F.,Mathematical Programming Structures and Algorithms, J. Wiley, New York, New York, 1979.

4. Monahan, G.,A Survey of Partially Observable Markov Decision Processes, Management Science, Vol. 28, pp. 1?16, 1982.

5. Geoffrion, A. M.,Duality in Nonlinear Programming: A Simplified Applications-Oriented Development, Perspectives in Optimization, Edited by A. M. Geoffrion, Addison-Wesley, London, England, pp. 65?101, 1972.

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