Optimal scaling of the ADMM algorithm for distributed quadratic programming
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Publication:6240664
DOI10.1109/CDC.2013.6760977arXiv1303.6680MaRDI QIDQ6240664FDOQ6240664
Mikael Johansson, André M. H. Teixeira, Iman Shames, Euhanna Ghadimi, Henrik Sandberg
Publication date: 26 March 2013
Abstract: This paper presents optimal scaling of the alternating directions method of multipliers (ADMM) algorithm for a class of distributed quadratic programming problems. The scaling corresponds to the ADMM step-size and relaxation parameter, as well as the edge-weights of the underlying communication graph. We optimize these parameters to yield the smallest convergence factor of the algorithm. Explicit expressions are derived for the step-size and relaxation parameter, as well as for the corresponding convergence factor. Numerical simulations justify our results and highlight the benefits of optimally scaling the ADMM algorithm.
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