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Optimal parameter selection for the alternating direction method of multipliers (ADMM): quadratic problems
KTH, School of Electrical Engineering (EES), Automatic Control. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.
KTH, School of Electrical Engineering (EES), Automatic Control. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.ORCID iD: 0000-0001-5491-4068
University of Melbourne, Australia.
KTH, School of Electrical Engineering (EES), Automatic Control. KTH, School of Electrical Engineering (EES), Centres, ACCESS Linnaeus Centre.
2015 (English)In: IEEE Transactions on Automatic Control, ISSN 0018-9286, E-ISSN 1558-2523, Vol. 60, no 3, 644-658 p., 6892987Article 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
IEEE Press, 2015. Vol. 60, no 3, 644-658 p., 6892987
Keyword [en]
Algorithms, Optimization, Quadratic programming
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:kth:diva-159885DOI: 10.1109/TAC.2014.2354892ISI: 000350206000004Scopus ID: 2-s2.0-84923620364OAI: oai:DiVA.org:kth-159885DiVA: diva2:787530
Funder
Swedish Foundation for Strategic Research Swedish Research Council
Note

QC 20150407

Available from: 2015-02-10 Created: 2015-02-10 Last updated: 2017-12-04Bibliographically approved

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Teixeira, André

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Ghadimi, EuhannaTeixeira, AndréShames, ImanJohansson, Mikael
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