CVX 同时被 2 个专栏收录
12 篇文章 2 订阅
11 篇文章 167 订阅

3- 交替方向乘子算法（Alternating Direction Method of Multipliers）

3-1 算法（Algorithm）

min f(x)+g(z)  s.t.  Ax+Bz=c        (3.1)

Lρ(x,z,λ)=f(x)+g(z)+yT(Ax+Bzc)+(ρ/2)||Ax+Bzc||22

xk+1=argminxLρ(x,zk,λk)        (3.2)
zk+1=argminzLρ(xk+1,z,λk)        (3.3)
λk+1=λk+ρ(Axk+1+Bzk+1c)        (3.4)

3-2 收敛（Convergence）

• 收敛到一个高的精度要求很多次迭代；
• 可以和其他算法组合来产生一个高的精度。

3-4 扩展和变化（Extensions and Variations）

3-4-1 不同的惩罚参数（Varying Penalty Parameter）

[96] B. S. He, H. Yang, and S. L. Wang, “Alternating direction method with selfadaptive p enalty parameters for monotone variational inequalities,” Journal of Optimization Theory and Applications, vol. 106, no. 2, pp. 337–356, 2000.
[169] S. L. Wang and L. Z. Liao, “Decomposition method with a variable parameter for a class of monotone variational inequality problems,” Journal of Optimization Theory and Applications, vol. 109, no. 2, pp. 415–429, 2001.

3-4-3 过松弛（Over-relaxation）

[63] J. Eckstein and D. P. Bertsekas, “On the Douglas-Rachford splitting method and the proximal p oint algorithm for maximal monotone op erators,” Mathematical Programming, vol. 55, pp. 293–318, 1992.
[64] J. Eckstein and M. C. Ferris, “Operator-splitting methods for monotone affine variational inequalities, with a parallel application to optimal control,” INFORMS Journal on Computing, vol. 10, pp. 218–235, 1998.
[59] J. Eckstein, “Parallel alternating direction multiplier decomposition of convex programs,” Journal of Optimization Theory and Applications, vol. 80, no. 1, pp. 39–62, 1994.

3-4-4 不精确最小化（Inexact Minimization）

[63] J. Eckstein and D. P. Bertsekas, “On the Douglas-Rachford splitting method and the proximal p oint algorithm for maximal monotone op erators,” Mathematical Programming, vol. 55, pp. 293–318, 1992.
[89] E. G. Gol’shtein and N. V. Tret’yakov, “Modified Lagrangians in convex programming and their generalizations,” Point-to-Set Maps and Mathematical Programming, pp. 86–97, 1979.

3-4-5 有序更新（Update Ordering）

[146] A. Ruszczy´nski, “An augmented Lagrangian decomposition method for block diagonal linear programming problems,” Operations Research Letters, vol. 8, no. 5, pp. 287–294, 1989.

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