ADMM算法相关资源

转载自：https://web.stanford.edu/~boyd/admm.html，版权归原作者所有。

ADMM

The alternating direction method of multipliers (ADMM) is an algorithm thatsolves convex optimization problems by breaking them into smaller pieces, eachof which are then easier to handle. It has recently found wide application in anumber of areas. On this page, we provide a few links to to interestingapplications and implementations of the method, along with a few primaryreferences.

ADMM is used in a large number of papers at this point, soit is impossible to be comprehensive here. We only intend to highlight a fewrepresentative examples in different areas. To keep the listing light, we haveonly listed more detailed bibliographic information for papers that are noteasy to find online; in any case, the information given should be more thanenough to track down the papers.

Main references

Distributed optimization and statistical learning via the alternating direction method of multipliers

S. Boyd, N. Parikh, E. Chu, B. Peleato, and J. Eckstein, 2011

Proximal algorithms

N. Parikh and S. Boyd, 2014

Software

• Assorted Matlab examples

• Additional Matlab examples

• MPI implementation in C (lasso)

• Hadoop MapReduce implementation

• Proximal operators in C and Matlab

• SCS: Primal-dual cone solver in C

• Operator splitting for control in C

Classic papers

On the numerical solution of heat conduction problemsin two and three space variables

J. Douglas and H. H. Rachford, Transactions of the American Mathematical Society,1956

Sur l'approximation, par éléments finis d'ordre un, et la résolution, parpénalisation-dualité d'une classe de problèmes de Dirichlet non linéares

R. Glowinski and A. Marrocco, Revue Française d'Automatique, Informatique, et Recherche Opérationelle, 1975

A dual algorithm for the solution of nonlinearvariational problems via finite element approximations

D. Gabay and B. Mercier, Computers andMathematics with Applications, 1976

Splitting algorithms for the sum of two nonlinear operators

P. L. Lions and B. Mercier, 1979

On the Douglas-Rachford splitting method and theproximal point algorithm for maximal monotone operators

J. Eckstein and D. Bertsekas, Mathematical Programming, 1992

Generic problems

Alternating direction augmented Lagrangian methods for semidefinite programming

Z. Wen, D. Goldfarb, and W. Yin, 2010

Block splitting for distributed optimization

N. Parikh and S. Boyd, 2014

Operator splitting for conic optimization via homogeneous self-dual embedding

B. O'Donoghue, E. Chu, N. Parikh, and S. Boyd, 2014

Applications

Robust Principal Component Analysis?

E. J. Candès, X. Li, Y. Ma, and J. Wright, 2009

An alternating direction method for dual MAP LP relaxation

O. Meshi and A. Globerson, 2011

An augmented Lagrangian approach to constrained MAP inference

A. Martins, M. Figueiredo, P. Aguiar, N. Smith, and E. Xing, 2011

Dual decomposition with many overlapping components

A. F. T. Martins, N. A. Smith, P. M. Q. Aguiar, and M. A. T. Figueiredo, 2011

Decomposition methods for large scale LP decoding

S. Barman, X. Liu, S. Draper, and B. Recht, 2011

Scaling MPE inference for constrained continuous Markov random fields with consensus optimization

S. Bach, M. Broecheler, L. Getoor, and D. O'Leary, 2012

Distributed robust multicell coordinated beamforming with imperfect CSI: an ADMM approach

C. Shen, T.-H. Chang, K.-Y. Wang, Z. Qiu, and C.-Y. Chi, 2012

Design of optimal sparse feedback gains via the alternating direction method of multipliers

F. Lin, M. Fardad, M. R. Jovanovic, 2013

Tensor completion for estimating missing values in visual data

J. Liu, P. Musialski, P. Wonka, J. Ye, 2013

A lasso for hierarchical interactions

J. Bien, J. Taylor, and R. Tibshirani, 2013

Statistical estimation and testing via the sorted norm

M. Bogdan, E. van den Berg, W. Su and E. J. Candès, 2013

The joint graphical lasso for inverse covariance estimation across multiple classes

P. Danaher, P. Wang, and D. Witten, 2013

Distributed robust power system state estimation

V. Kekatos and G. B. Giannakis, 2013

A splitting method for optimal control

B. O'Donoghue, G. Stathopoulos, and S. Boyd, 2013

Dynamic network energy management viaproximal message passing

M. Kraning, E. Chu, J. Lavaei, and S. Boyd, 2014

Theory and variations

On the convergence rate of the Douglas-Rachford alternating direction method

B. He and X. Yuan, 2012

Fast alternating direction optimization methods

T. Goldstein, B. O'Donoghue, S. Setzer, and R. Baraniuk, 2012

Augmented Lagrangian and alternating direction methods for convex optimization: a tutorial and some illustrative computational results

J. Eckstein, 2012