An ADMM algorithm for solving a proximal bound-constrained quadratic program

Miguel Á. Carreira-Perpiñán

An ADMM algorithm for solving a proximal bound-constrained quadratic program

Optimization and Control 2014-12-31 v1 Machine Learning Machine Learning

Authors: Miguel Á. Carreira-Perpiñán

Abstract

We consider a proximal operator given by a quadratic function subject to bound constraints and give an optimization algorithm using the alternating direction method of multipliers (ADMM). The algorithm is particularly efficient to solve a collection of proximal operators that share the same quadratic form, or if the quadratic program is the relaxation of a binary quadratic problem.

Keywords

alternating direction method of multipliers linear programming primal-dual optimization

Cite

@article{arxiv.1412.8493,
  title  = {An ADMM algorithm for solving a proximal bound-constrained quadratic program},
  author = {Miguel Á. Carreira-Perpiñán},
  journal= {arXiv preprint arXiv:1412.8493},
  year   = {2014}
}

Comments

5 pages, 1 figure. arXiv admin note: text overlap with arXiv:1405.5960

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