Lecture 19.1: from Frank-Wolfe to the dual method
Completion requirements
The Frank-Wolfe method. A fleeting glimpse to stabilization and extensions of the Frank-Wolfe method: Sequential Quadratic Programming (second-order models), constrained Bundle method for non-C^1 functions (cutting plane model). MATLAB implementation of the Frank-Wolfe method: a disaster without stabilisation, a bit better with it (but it depends a lot on the instance). Dual methods, the easy case (quadratic with strictly positive definite Hessian). MATLAB implementation of the dual method box-constrained convex Quadratic Programs: it works quite well, but it also depends on the instance (ill conditioning and size of active set) and it is especially because it has the Lagrangian heuristic.