A Primal-Dual Frank-Wolfe Algorithm for Linear Programming
We present two first-order primal-dual algorithms for solving saddle point formulations of linear programs, namely FWLP (Frank-Wolfe Linear Programming) and FWLP-P. The former iteratively applies the Frank-Wolfe algorithm to both the primal and dual of the saddle point formulation of a standard-form LP. The latter is a modification of FWLP in which regularizing perturbations are … Read more