The Alternating Direction Method of Multipliers An ADMM Software Library
نویسنده
چکیده
The Alternating Direction Method of Multipliers (ADMM) is a method that solves convex optimization problems of the form min(f(x) + g(z)) subject to Ax + Bz = c, where A and B are suitable matrices and c is a vector, for optimal points (xopt, zopt). It is commonly used for distributed convex minimization on large scale data-sets. However, it can be technically difficult to implement and there is no known way to automatically choose an optimal step size for ADMM. Our goal in this project is to simplify the use of ADMM by making a robust, easy-to-use software library for all ADMM-related needs, with the ability to adaptively select step-sizes on every iteration. The library will contain a general ADMM method, as well as solvers for common problems that ADMM is used for. It also tries to implement adaptive step-size selection, have support for parallel computing and have user-friendly options and features.
منابع مشابه
The Alternating Direction Method of Multipliers An Adaptive Step-size Software Library
The Alternating Direction Method of Multipliers (ADMM) is a method that solves convex optimization problems of the form min(f(x) + g(z)) subject to Ax + Bz = c, where A and B are suitable matrices and c is a vector, for optimal points (xopt, zopt). It is commonly used for distributed convex minimization on large scale data-sets. However, it can be technically difficult to implement and there is...
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