A New Use of Douglas-Rachford Splitting and ADMM for Identifying Infeasible, Unbounded, and Pathological Conic Programs
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Publication:6287627
DOI10.1007/S10107-018-1265-5DBLPjournals/mp/LiuRY19arXiv1706.02374WikidataQ59754852 ScholiaQ59754852MaRDI QIDQ6287627FDOQ6287627
Authors: Yanli Liu, Ernest K. Ryu, Wotao Yin 
Publication date: 7 June 2017
Abstract: In this paper, we present a method for identifying infeasible, unbounded, and pathological conic programs based on Douglas-Rachford splitting, or equivalently ADMM. When an optimization program is infeasible, unbounded, or pathological, the iterates of Douglas-Rachford splitting diverge. Somewhat surprisingly, such divergent iterates still provide useful information, which our method uses for identification. In addition, for strongly infeasible problems the method produces a separating hyperplane and informs the user on how to minimally modify the given problem to achieve strong feasibility. As a first-order method, the proposed algorithm relies on simple subroutines, and therefore is simple to implement and has low per-iteration cost.
Numerical mathematical programming methods (65K05) Convex programming (90C25) Monotone operators and generalizations (47H05) Iterative procedures involving nonlinear operators (47J25) Numerical methods for variational inequalities and related problems (65K15)
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