Question: Consider the example in which we use the Frank-Wolfe Algorithm to solve for the portfolio problem where $theta= 1$. The initial point x 0 =

Consider the example in which we use the Frank-Wolfe Algorithm to solve for the portfolio problem where $\theta= 1$.

The initial point x0 = (0, 0). What is the constraint and the optimal solution of the optimization problem in Step 3 of the second iteration?

a. Constraint: 0101

Optimal solution: =815=815

b. Constraint: 0210x21

Optimal solution: x2 = (16/9, 7/3)

c. Constraint: 0110x11 , 0210x21

Optimal solution: x2 = (16/9, 7/3)

d. None of the above is correct.

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