ADMM Penalty Parameter Selection by Residual Balancing

2017/04/20 by Brendt Wohlberg, Wohlberg, Brendt · 2 citations
Engineering · #Control Systems and Identification #FOS: Computer and information sciences #FOS: Electrical engineering #FOS: Mathematics #Fault Detection and Control Systems #Machine Learning (cs.LG) #Optimization and Control (math.OC) #Signal Processing (eess.SP) #Sparse and Compressive Sensing Techniques #electronic engineering #information engineering

paper · pdf · doi:10.48550/arxiv.1704.06209

openalex publication_date 2017/04/20 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Appropriate selection of the penalty parameter is crucial to obtaining good performance from the Alternating Direction Method of Multipliers (ADMM). While analytic results for optimal selection of this parameter are very limited, there is a heuristic method that appears to be relatively successful in a number of different problems. The contribution of this paper is to demonstrate that their is a potentially serious flaw in this heuristic approach, and to propose a modification that at least partially addresses it.

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