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Some Reformulations and Applications of the Alternating Direction Method of Multipliers

In: Large Scale Optimization

Author

Listed:
  • Jonathan Eckstein

    (Thinking Machines Corporation, Mathematical Sciences Research Group)

  • Masao Fukushima

    (Nara Institute of Science and Technology, Graduate School of Information Science)

Abstract

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.

Suggested Citation

  • Jonathan Eckstein & Masao Fukushima, 1994. "Some Reformulations and Applications of the Alternating Direction Method of Multipliers," Springer Books, in: W. W. Hager & D. W. Hearn & P. M. Pardalos (ed.), Large Scale Optimization, pages 115-134, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4613-3632-7_7
    DOI: 10.1007/978-1-4613-3632-7_7
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