Wang Yao

Approximate Versions of the Alternating Direction Method of Multipliers

  • Jonathan Eckstein
  • Wang Yao
    • Categories Convex Optimization, Data-Mining, Nonsmooth Optimization Tags , ,

    We present three new approximate versions of alternating direction method of multipliers (ADMM), all of which require only knowledge of subgradients of the subproblem objectives, rather than bounds on the distance to the exact subproblem solution. One version, which applies only to certain common special cases, is based on combining the operator-splitting analysis of the … Read more

    Understanding the Convergence of the Alternating Direction Method of Multipliers: Theoretical and Computational Perspectives

  • Jonathan Eckstein
  • Wang Yao
    • Categories Convex Optimization Tags ,

    The alternating direction of multipliers (ADMM) is a form of augmented Lagrangian algorithm that has experienced a renaissance in recent years due to its applicability to optimization problems arising from “big data” and image processing applications, and the relative ease with which it may be implemented in parallel and distributed computational environments. While it is … Read more