Question: Algorithm 6.5 is not optimal because it attempts to satisfy two constraints alternatively in each iteration. A better way is to compute an optimal step
Algorithm 6.5 is not optimal because it attempts to satisfy two constraints alternatively in each iteration.
A better way is to compute an optimal step size at each step, which satisfies both constraints:
= arg max
, subject to 0 ¹nº ???? ˜r L¹¹nºº C 0 n.
use the KKT conditions to derive a closed-form solution to compute the optimal step size .
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