1994 | OriginalPaper | Buchkapitel
Some Reformulations and Applications of the Alternating Direction Method of Multipliers
verfasst von : Jonathan Eckstein, Masao Fukushima
Erschienen in: Large Scale Optimization
Verlag: Springer US
Enthalten in: Professional Book Archive
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We consider the alternating direction method of multipliers decomposition algorithm for convex programming, as recently generalized by Eckstein and Bert- sekas. We give some reformulations of the algorithm, and discuss several alternative means for deriving them. We then apply these reformulations to a number of optimization problems, such as the minimum convex-cost transportation and multicommodity flow. The convex transportation version is closely related to a linear-cost transportation algorithm proposed earlier by Bertsekas and Tsitsiklis. Finally, we construct a simple data-parallel implementation of the convex-cost transportation algorithm for the CM-5 family of parallel computers, and give computational results. The method appears to converge quite quickly on sparse quadratic-cost transportation problems, even if they are very large; for example, we solve problems with over a million arcs in roughly 100 iterations, which equates to about 30 seconds of run time on a system with 256 processing nodes. Substantially better timings can probably be achieved with a more careful implementation.