Projected Subgradient Ascent for Convex Maximization

Abstract: We consider the problem of maximizing a convex function over a closed convex set. Classical methods solve such problems using iterative schemes that repeatedly improve a solution. For linear maximization, we show that a single orthogonal projection suffices to obtain an approximate solution. For general 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 size to infinity leads to the conditional gradient algorithm, and iterated linear optimization as a special case. We illustrate numerical experiments using a single projection for linear optimization in the elliptope, reducing the problem to the computation of a nearest correlation matrix.