Managing randomization in the multi-block alternating direction method of multipliers for quadratic optimization

  • The Alternating Direction Method of Multipliers (ADMM) has gained a lot of attention for solving large-scale and objective-separable constrained optimization. However, the two-block variable structure of the ADMM still limits the practical computational efficiency of the method, because one big matrix factorization is needed at least once even for linear and convex quadratic programming. This drawback may be overcome by enforcing a multi-block structure of the decision variables in the original optimization problem. Unfortunately, the multi-block ADMM, with more than two blocks, is not guaranteed to be convergent. On the other hand, two positive developments have been made: first, if in each cyclic loop one randomly permutes the updating order of the multiple blocks, then the method converges in expectation for solving any system of linear equations with any number of blocks. Secondly, such a randomly permuted ADMM also works for equality-constrained convex quadratic programming even when the objective function is not separable. The goal of this paper is twofold. First, we add more randomness into the ADMM by developing a randomly assembled cyclic ADMM (RAC-ADMM) where the decision variables in each block are randomly assembled. We discuss the theoretical properties of RAC-ADMM and show when random assembling helps and when it hurts, and develop a criterion to guarantee that it converges almost surely. Secondly, using the theoretical guidance on RAC-ADMM, we conduct multiple numerical tests on solving both randomly generated and large-scale benchmark quadratic optimization problems, which include continuous, and binary graph-partition and quadratic assignment, and selected machine learning problems. Our numerical tests show that the RAC-ADMM, with a variable-grouping strategy, could significantly improve the computation efficiency on solving most quadratic optimization problems.

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Metadaten
Author:Krešimir MihićORCiD, Mingxi ZhuORCiD, Yinyu Ye
DOI:https://doi.org/10.1007/s12532-020-00192-5
ISSN:1867-2949
Parent Title (English):Mathematical Programming Computation
Publisher:Springer Science and Business Media LLC
Document Type:Article
Language:English
Year of Completion:2020
Tag:Software; Theoretical Computer Science
Volume:13
Issue:2
Page Number:75
First Page:339
Last Page:413
Mathematical Programming Computation :MPC 2021 - Issue 2
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