Year: 2022
Type: preprint
Abstract: Convex quadratic programming (QP) is an important sub-field of mathematical optimization. The alternating direction method of multipliers (ADMM) is a successful method to solve QP. Even though ADMM shows promising results in solving various types of QP, its convergence speed is known to be highly dependent on the step-size parameter $ρ$. Due to the absence of a general rule for setting $ρ$, it is often tuned manually or heuristically. In this paper, we propose CA-ADMM (Context-aware Adaptive ADMM)) which learns to adaptively adjust $ρ$ to accelerate ADMM. CA-ADMM extracts the spatio-temporal context, which captures the dependency of the primal and dual variables of QP and their temporal evolution during the ADMM iterations. CA-ADMM chooses $ρ$ based on the extracted context. Through extensive numerical experiments, we validated that CA-ADMM effectively generalizes to unseen QP problems with different sizes and classes (i.e., having different QP parameter structures). Furthermore, we verified that CA-ADMM could dynamically adjust $ρ$ considering the stage of the optimization process to accelerate the convergence speed further.
Source: arXiv (Cornell University)
Authors: Jung, Haewon, Park, Junyoung, Park, Jinkyoo
Institution: Korea Advanced Institute of Science and Technology
Language: English
Subfield: Numerical Analysis
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W4309877014