作者
Euhanna Ghadimi, André Teixeira, Iman Shames, Mikael Johansson
发表日期
2014/9/5
期刊
IEEE Transactions on Automatic Control
卷号
60
期号
3
页码范围
644-658
出版商
IEEE
简介
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 ℓ 2 -regularized minimization and constrained quadratic programming. Numerical examples show that our parameter selection rules significantly outperform existing alternatives in the literature.
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