Projected Subgradient Ascent for Convex Maximization

Abstract

We consider the problem of maximizing a convex function over a closed convex set in a real Hilbert space. For linear functions, we show that a single orthogonal projection suffices to obtain an approximate solution. For continuous convex functions over convex sets, we show that projected subgradient ascent converges to a first-order stationary point when using arbitrarily large step sizes. Taking the step sizes to infinity leads to a deterministic variant of the conditional gradient algorithm, and iterated linear optimization as a special case.