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Trajectory of Alternating Direction Method of Multipliers and Adaptive Acceleration

2020-02-19 | |  41 |   32 |   0

Abstract

The alternating direction method of multipliers (ADMM) is one of the most widely used first-order methods in the literature owing to its simplicity, flexibility and efficiency. Over the years, numerous efforts are made to improve the performance of ADMM, such as the inertial technique. By studying the geometric properties of ADMM, we discuss the limitations of current inertial accelerated ADMM, then present and analyze an adaptive acceleration scheme for the method. Numerical experiments on problems arising from image processing, statistics and machine learning demonstrate the advantages of the proposed acceleration approach.

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