Related papers: A Generic Closed-form Optimal Step-size for ADMM
This paper considers an optimization problem for a dynamical system whose evolution depends on a collection of binary decision variables. We develop scalable approximation algorithms with provable suboptimality bounds to provide…
In this paper, we present two stepsize strategies for the extended Golden Ratio primal-dual algorithm (E-GRPDA) designed to address structured convex optimization problems in finite-dimensional real Hilbert spaces. The first rule features a…
The present study proposes a sensor selection method based on the proximal splitting algorithm and the A-optimal design of experiment using the alternating direction method of multipliers (ADMM) algorithm. The performance of the proposed…
This paper proposes a proximal variant of the alternating direction method of multipliers (ADMM) for distributed optimization. Although the current versions of ADMM algorithm provide promising numerical results in producing solutions that…
We introduce a new sequential subspace optimization method for large-scale saddle-point problems. It solves iteratively a sequence of auxiliary saddle-point problems in low-dimensional subspaces, spanned by directions derived from…
This paper proposes a partially inexact alternating direction method of multipliers for computing approximate solution of a linearly constrained convex optimization problem. This method allows its first subproblem to be solved inexactly…
Dual first-order methods are powerful techniques for large-scale convex optimization. Although an extensive research effort has been devoted to studying their convergence properties, explicit convergence rates for the primal iterates have…
The primal-dual hybrid gradient (PDHG) algorithm is popular in solving min-max problems which are being widely used in a variety of areas. To improve the applicability and efficiency of PDHG for different application scenarios, we focus on…
The importance of an adequate inner loop starting point (as opposed to a sufficient inner loop stopping rule) is discussed in the context of a numerical optimization algorithm consisting of nested primal-dual proximal-gradient iterations.…
We give a general proof of convergence for the Alternating Direction Method of Multipliers (ADMM). ADMM is an optimization algorithm that has recently become very popular due to its capabilities to solve large-scale and/or distributed…
Alternating Direction Method of Multipliers (ADMM) is a popular method for solving large-scale Machine Learning problems. Stochastic ADMM was proposed to reduce the per iteration computational complexity, which is more suitable for big data…
This paper introduces a coordinate descent version of the V\~u-Condat algorithm. By coordinate descent, we mean that only a subset of the coordinates of the primal and dual iterates is updated at each iteration, the other coordinates being…
In this paper, we develop a symmetric accelerated stochastic Alternating Direction Method of Multipliers (SAS-ADMM) for solving separable convex optimization problems with linear constraints. The objective function is the sum of a possibly…
An inexact accelerated stochastic Alternating Direction Method of Multipliers (AS-ADMM) scheme is developed for solving structured separable convex optimization problems with linear constraints. The objective function is the sum of a…
The alternating direction method of multipliers (ADMM) is commonly used for distributed model fitting problems, but its performance and reliability depend strongly on user-defined penalty parameters. We study distributed ADMM methods that…
Many statistical learning problems can be posed as minimization of a sum of two convex functions, one typically a composition of non-smooth and linear functions. Examples include regression under structured sparsity assumptions. Popular…
Convex nonsmooth optimization problems, whose solutions live in very high dimensional spaces, have become ubiquitous. To solve them, the class of first-order algorithms known as proximal splitting algorithms is particularly adequate: they…
Alternating direction method of multipliers (ADMM) is a popular first-order method owing to its simplicity and efficiency. However, similar to other proximal splitting methods, the performance of ADMM degrades significantly when the scale…
In this paper, based a novel primal-dual dynamical model with adaptive scaling parameters and Bregman divergences, we propose new accelerated primal-dual proximal gradient splitting methods for solving bilinear saddle-point problems with…
In this paper we consider the problem of finding the minimizations of the sum of two convex functions and the composition of another convex function with a continuous linear operator. With the idea of coordinate descent, we design a…