Algorithm 6.5 is not optimal because it attempts to satisfy two constraints alternatively in each iteration. A

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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 L¹ ¹nºº  C 0    n.

use the KKT conditions to derive a closed-form solution to compute the optimal step size .

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