Linearized symmetric multi-block ADMM with indefinite proximal regularization and optimal proximal parameter

In this dissertation we develop numerical algorithms and software tools to facilitate parallel solutions of nonlinear programming (NLP) problems. In particular, we address large-scale, block-structured problems with an intrinsic decomposable configuration. These problems arise in a great number of engineering applications, including parameter estimation, optimal control, network optimization, and stochastic programming. The structure of these problems can be leveraged by optimization solvers to accelerate solutions and overcome memory limitations, and we propose variants to two classes of optimization algorithms: augmented Lagrangian (AL) schemes and Schur-complement interior-point methods. The convergence properties of augmented Lagrangian decomposition schemes like the alternating direction method of multipliers (ADMM) and progressive hedging (PH) are well established for convex optimization but convergence guarantees in non-convex settings are still poorly understood. In practice, however, ADMM and PH often perform satisfactorily in complex non-convex NLPs. In this work, we study connections between the method of multipliers (MM), ADMM, and PH to derive benchmarking metrics that explain why PH and ADMM work in practice. We illustrate the concepts using challenging dynamic optimization problems. Our exposition seeks to establish more formalism in benchmarking ADMM, PH, and AL schemes and to motivate algorithmic improvements. The effectiveness of nonlinear interior-point solvers for solving large-scale problems relies quite heavily on the solution of the underlying linear algebra systems. The schur-complement decomposition is very effective for parallelizing the solution of linear systems with modest coupling. However, for systems with large number of coupling variables the schur-complement method does not scale favorably. We implement an approach that uses a Krylov solver (GMRES) preconditioned with ADMM to solve block-structured linear systems that arise in the interior-point method. We show that this ADMM-GMRES approach overcomes the well-known scalability issues of Schur decomposition. One important drawback of using decomposition approaches like ADMM and PH is their convergence rate. Unlike Schur-complement interior-point algorithms that have super-linear convergence, augmented Lagrangian approaches typically exhibit linear and sublinear rates. We exploit connections between ADMM and the Schur-complement decomposition to derive an accelerated version of ADMM. Specifically, we study the effectiveness of performing a Newton-Raphson algorithm to compute multiplier estimates for augmented Lagrangian methods. We demonstrate using two-stage stochastic programming problems that our multiplier update achieves convergence in fewer iterations for MM on general nonlinear problems. In the case of ADMM, the newton update significantly reduces the number of subproblem solves for convex quadratic programs (QPs). Moreover, we show that using newton multiplier updates makes the method robust to the selection of the penalty parameter. Traditionally, state-of-the-art optimization solvers are implemented in low-level programming languages. In our experience, the development of decomposition algorithms in these frameworks is challenging. They present a steep learning curve and can slow the development and testing of new numerical algorithms. To mitigate these challenges, we developed PyNumero, a new open source framework implemented in Python and C++. The package seeks to facilitate development of optimization algorithms for large-scale optimization within a high-level programming environment while at the same time minimizing the computational burden of using Python. The efficiency of PyNumero is illustrated by implementing algorithms for problems arising in stochastic programming and optimal control. Timing results are presented for both serial and parallel implementations. Our computational studies demonstrate that with the appropriate balance between compiled code and Python, efficient implementations of optimization algorithms are achievable in these high-level languages.

The Alternating Direction Method of Multipliers (ADMM) has been proved to be effective for solving separable convex optimization subject to linear constraints. In this paper, we propose a Generalized Symmetric ADMM (GS-ADMM), which updates the Lagrange multiplier twice with suitable stepsizes, to solve the multi-block separable convex programming. This GS-ADMM partitions the data into two group variables so that one group consists of $p$ block variables while the other has $q$ block variables, where $p \ge 1$ and $q \ge 1$ are two integers. The two grouped variables are updated in a {\it Gauss-Seidel} scheme, while the variables within each group are updated in a {\it Jacobi} scheme, which would make it very attractive for a big data setting. By adding proper proximal terms to the subproblems, we specify the domain of the stepsizes to guarantee that GS-ADMM is globally convergent with a worst-case $O(1/t)$ ergodic convergence rate. It turns out that our convergence domain of the stepsizes is significantly larger than other convergence domains in the literature. Hence, the GS-ADMM is more flexible and attractive on choosing and using larger stepsizes of the dual variable. Besides, two special cases of GS-ADMM, which allows using zero penalty terms, are also discussed and analyzed. Compared with several state-of-the-art methods, preliminary numerical experiments on solving a sparse matrix minimization problem in the statistical learning show that our proposed method is effective and promising.

Recently, several convergence rate results for Douglas-Rachford splitting and the alternating direction method of multipliers (ADMM) have been presented in the literature. In this paper, we show global linear convergence rate bounds for Douglas-Rachford splitting and ADMM under strong convexity and smoothness assumptions. We further show that the rate bounds are tight for the class of problems under consideration for all feasible algorithm parameters. For problems that satisfy the assumptions, we show how to select step-size and metric for the algorithm that optimize the derived convergence rate bounds. For problems with a similar structure that do not satisfy the assumptions, we present heuristic step-size and metric selection methods.

Multi-block linear constrained separable convex minimizations are ubiquitous and have been drawing increasing attention in recent researches. The alternating direction method of multipliers (ADMM) has been well studied and used in the literature for the two-block case. However, the direct extension of the ADMM to the multi-block case is not necessarily convergent. ADMM with Gaussian Back Substitution and ADMM with Prox-Parallel Splitting are two useful schemes to deal with the multi-block situation. Nevertheless, only a sublinear convergence rate was given in previous studies. In this paper, we prove the linear convergence rate of these two schemes under some assumptions. The proofs mainly depend on the variational inequalities.

Graph learning for latent-variable Gaussian graphical models under laplacian constraints

This paper proposes a distributed optimization algorithm based on alternating direction method of multipliers (ADMM) for the distributed optimization problem of multi-agent systems, called ADMM with adaptive penalty terms and conditional communication (for short, AAPCC), by using the local information of agents to update the adaptive penalty terms to speed up the convergence speed while by restricting the communication conditions of agents to reduce the communication cost of agents in the iterative process. Thus, the communication cost of the system is reduced while the convergence speed is ensured. Numerical simulation experiments show that in a multi-agent system, compared with the classical ADMM, AAPCC can better balance the convergence speed and communication cost, suitable for multi-agent systems that require fast convergence speed and less communication cost.

In this article, we address a composite optimization problem in a distributed network. Each agent in the network possesses a private local convex function consisting of a differentiable term, a nonsmooth term, and a nonsmooth term combined with a linear operator. The objective is to minimize the sum of all local functions while achieving consensus among the local states through information exchange with neighboring agents. To tackle this problem, we propose a novel distributed proximal alternating direction multiplier method (ADMM). By introducing the proximal operator of the nonsmooth term, linearizing the smooth term, and incorporating an additional proximal term, the ADMM subproblem can be solved more efficiently. One key advantage of the proposed algorithm is that it allows each agent to select parameters without being constrained by the network topology. In some instances, the algorithm can be transformed into some classical optimization algorithms. The algorithm is further extended to an asynchronous version by introducing randomized block coordinate. We further analyze the convergence of the proposed asynchronous algorithm and establish the sublinear convergence rate under synchronous conditions. Finally, several numerical experiments are conducted to verify the effectiveness of the proposed algorithm.

This letter introduces an efficient first-order method based on the alternating direction method of multipliers (ADMM) to solve semidefinite programs arising from sum-of-squares (SOS) programming. We exploit the sparsity of the coefficient matching conditions when SOS programs are formulated in the usual monomial basis to reduce the computational cost of the ADMM algorithm. Each iteration of our algorithm requires one projection onto the positive semidefinite cone and the solution of multiple quadratic programs with closed-form solutions free of any matrix inversion. Our techniques are implemented in the open-source MATLAB solver SOSADMM. Numerical experiments on SOS problems arising from unconstrained polynomial minimization and from Lyapunov stability analysis for polynomial systems show speed-ups compared to the interior-point solver SeDuMi, and the first-order solver CDCS.

In networks consisting of agents communicating with a central coordinator and working together to solve a global optimization problem in a distributed manner, the agents are often required to solve private proximal minimization subproblems. Such a setting often requires a further decomposition method to solve the global distributed problem, resulting in extensive communication overhead. In networks where communication is expensive, it is crucial to reduce the communication overhead of the distributed optimization scheme. Integrating Gaussian processes (GP) as a learning component to the Alternating Direction Method of Multipliers (ADMM) has proven effective in learning each agent's local proximal operator to reduce the required communication exchange. In this work, we propose to combine this learning method with adaptive uniform quantization in a hybrid approach that can achieve further communication reduction when solving a distributed optimization problem with ADMM. This adaptive quantization first considers setting the mid-value and window length according to the mean and covariance given by GP. In a later stage of our study, this adaptation is extended to also consider the variation of the quantization bit resolution. In addition, a convergence analysis of this setting is derived, leading to convergence conditions and error bounds in the cases where convergence cannot be formally proven. Furthermore, we study the impact of the communication decision-making of the coordinator, leading to the proposition of several query strategies using the agent's uncertainty measures given by the regression process. Extensive numerical experiments of a distributed sharing problem with quadratic cost functions for the agents have been conducted throughout this study. The results have demonstrated that the various algorithms proposed have successfully achieved their primary goal of minimizing the overall communication overhead while ensuring that the global solutions maintain satisfactory levels of accuracy. The favorable accuracy observed in the numerical experiments is consistent with the findings of the derived convergence analysis. In instances where convergence proof is lacking, we have shown that the overall ADMM residual remains bounded by a diminishing threshold. This implies that we can anticipate our algorithmic solutions to closely approximate the actual solution, thus validating the reliability of our approaches.

Dynamic magnetic resonance imaging (MRI) has been extensively utilized for enhancing medical living environment visualization, however, in clinical practice it often suffers from long data acquisition times. Dynamic imaging essentially reconstructs the visual image from raw (k,t)-space measurements, commonly referred to as big data. The purpose of this work is to accelerate big medical data acquisition in dynamic MRI by developing a non-convex minimization framework. In particular, to overcome the inherent speed limitation, both non-convex low-rank and sparsity constraints were combined to accelerate the dynamic imaging. However, the non-convex constraints make the dynamic reconstruction problem difficult to directly solve through the commonly-used numerical methods. To guarantee solution efficiency and stability, a numerical algorithm based on Alternating Direction Method of Multipliers (ADMM) is proposed to solve the resulting non-convex optimization problem. ADMM decomposes the original complex optimization problem into several simple sub-problems. Each sub-problem has a closed-form solution or could be efficiently solved using existing numerical methods. It has been proven that the quality of images reconstructed from fewer measurements can be significantly improved using non-convex minimization. Numerous experiments have been conducted on two in vivo cardiac datasets to compare the proposed method with several state-of-the-art imaging methods. Experimental results illustrated that the proposed method could guarantee the superior imaging performance in terms of quantitative and visual image quality assessments.

Our main goal in this chapter is to discuss the application of Alternating Direction Methods of Multipliers (ADMM) to the numerical solution of non-convex (and possibly non-smooth) variational problems. After giving a relatively detailed history of the ADMM methodology, we will discuss its application to the solution of problems from nonlinear Continuum Mechanics, nonlinear Elasticity, in particular. The ADMM solution of the two-dimensional Dirichlet problem for the Monge-Ampere equation will be discussed also. The results of numerical experiments will be reported, in order to illustrate the capabilities of the methodology under consideration

In the process of signal and image acquisition and transmission, there is not only the additive white Gaussian noise interference, but also the non-Gaussian noise interference. The performance of a standard reconstruction algorithm, known as compressed sensing, can be significantly reduced if it is used to recover the signal affected by non-Gaussian noise. In this paper, LpLq-ADMM algorithm $(p \in(0,2), q \in(0,1))$ based on alternating direction method of multipliers is proposed to improve the reconstruction accuracy and the robustness of signal and image restoration in impulsive SαS (symmetric α-stable) noise. Lp-norm is used as the loss function term to enhance the data restoration ability in SαS noise and Lq-norm is used as the generalized non-convex penalty term to guarantee the sparsity of the signal. In order to efficiently solve the cost function model with minimum non-convex and nonsmooth, reduce the computational complexity of the objective function and improve the processing ability of high-dimensional data, in this paper, the alternating direction method of multipliers (ADMM) is used to solve the cost function model. The appropriate p and q values are selected via numerical simulation experiments to achieve the optimal reconstruction accuracy and robustness of sparse signals in SαS noise. The reconstruction probability of sparse signals and image recovery performance are analyzed under the optimal p and q values. The simulation results show that LpLq-ADMM algorithm has great noise suppression ability to SαS noise, and its Peak Signal to Noise Ratio (PSNR) and signal recovery probability is higher than other recovery algorithms.

This paper aims to present a fairly accessible generalization of several symmetric Gauss-Seidel decomposition based multi-block proximal alternating direction methods of multipliers (ADMMs) for convex composite optimization problems. The proposed method unifies and refines many constructive techniques that were separately developed for the computational efficiency of multi-block ADMM-type algorithms. Specifically, the majorized augmented Lagrangian functions, the indefinite proximal terms, the inexact symmetric Gauss-Seidel decomposition theorem, the tolerance criteria of approximately solving the subproblems, and the large dual step-lengths, are all incorporated in one algorithmic framework, which we named as sGS-imiPADMM. From the popularity of convergent variants of multi-block ADMMs in recent years, especially for high-dimensional multi-block convex composite conic programming problems, the unification presented in this paper, as well as the corresponding convergence results, may have the great potential of facilitating the implementation of many multi-block ADMMs in various problem settings.

We analyze the convergence rate of the alternating direction method of multipliers (ADMM) for minimizing the sum of two or more nonsmooth convex separable functions subject to linear constraints. Previous analysis of the ADMM typically assumes that the objective function is the sum of only two convex functions defined on two separable blocks of variables even though the algorithm works well in numerical experiments for three or more blocks. Moreover, there has been no rate of convergence analysis for the ADMM without strong convexity in the objective function. In this paper we establish the global R-linear convergence of the ADMM for minimizing the sum of any number of convex separable functions, assuming that a certain error bound condition holds true and the dual stepsize is sufficiently small. Such an error bound condition is satisfied for example when the feasible set is a compact polyhedron and the objective function consists of a smooth strictly convex function composed with a linear mapping, and a nonsmooth $$\ell _1$$l1 regularizer. This result implies the linear convergence of the ADMM for contemporary applications such as LASSO without assuming strong convexity of the objective function.

The alternating direction method of multipliers (ADMM) has been popular for solving many signal processing problems, convex or nonconvex. In this paper, we study an asynchronous implementation of ADMM for solving a nonconvex nonsmooth optimization problem, whose objective is the sum of a number of component functions. The proposed algorithm allows the problem to be solved in a distributed, asynchronous, and incremental manner. First, the component functions can be distributed to different computing nodes, which perform the updates asynchronously without coordinating with each other. Two sources of asynchrony are covered by our algorithm: One is caused by the heterogeneity of the computational nodes and the other arises from unreliable communication links. Second, the algorithm can be viewed as implementing an incremental algorithm where at each step the (possibly delayed) gradients of only a subset of component functions are updated. We show that when certain bounds are imposed on the level of asynchrony, the proposed algorithm converges to the set of stationary solutions (resp. optimal solutions) for the nonconvex (resp. convex) problem, with a global sublinear rate.