ADMM
The paper replaces scalar rho and alpha with diagonal matrices that can vary by constraint and by iteration. Relaxed ADMM replaces part of the update with a combination controlled by a relaxation parameter alpha. ADMM is used for structure…
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The paper replaces scalar rho and alpha with diagonal matrices that can vary by constraint and by iteration. Relaxed ADMM replaces part of the update with a combination controlled by a relaxation parameter alpha. ADMM is used for structured convex optimization because it has inexpensive iterations and scales across several application areas. The paper studies relaxed ADMM for convex problems of the form minimizing f(x) + g(z) subject to a linear constraint.