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Optimal parameter selection for the Alternating Direction Method of Multipliers (ADMM): Quadratic problems
2015 (English)In: IEEE Transactions on Automatic Control, ISSN 0018-9286, E-ISSN 1558-2523, Vol. 60, no 3, p. 644-658Article in journal (Refereed) Published
Abstract [en]

The alternating direction method of multipliers (ADMM) has emerged as a powerful technique for large-scale structured optimization. Despite many recent results on the convergence properties of ADMM, a quantitative characterization of the impact of the algorithm parameters on the convergence times of the method is still lacking. In this paper we find the optimal algorithm parameters that minimize the convergence factor of the ADMM iterates in the context of l2-regularized minimization and constrained quadratic programming. Numerical examples show that our parameter selection rules significantly outperform existing alternatives in the literature.

Place, publisher, year, edition, pages
2015. Vol. 60, no 3, p. 644-658
Keywords [en]
ADMM, convergence rate, optimal step-size, optimization algorithm
National Category
Electrical Engineering, Electronic Engineering, Information Engineering
Identifiers
URN: urn:nbn:se:uu:diva-363599DOI: 10.1109/TAC.2014.2354892OAI: oai:DiVA.org:uu-363599DiVA, id: diva2:1257046
Available from: 2018-10-18 Created: 2018-10-18 Last updated: 2019-06-20

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Teixeira, André

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