资源论文Adaptive Relaxed ADMM: Convergence Theory and Practical Implementation

Adaptive Relaxed ADMM: Convergence Theory and Practical Implementation

2019-11-28 | |  32 |   32 |   0

Abstract Many modern computer vision and machine learning applications rely on solving diffificult optimization problems that involve non-differentiable objective functions and constraints. The alternating direction method of multipliers (ADMM) is a widely used approach to solve such problems. Relaxed ADMM is a generalization of ADMM that often achieves better performance, but its effificiency depends strongly on algorithm parameters that must be chosen by an expert user. We propose an adaptive method that automatically tunes the key algorithm parameters to achieve optimal performance without user oversight. Inspired by recent work on adaptivity, the proposed adaptive relaxed ADMM (ARADMM) is derived by assuming a BarzilaiBorwein style linear gradient. A detailed convergence analysis of ARADMM is provided, and numerical results on several applications demonstrate fast practical convergence.

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