196 research outputs found
Convergence Analysis of Consensus-ADMM for General QCQP
We analyze the convergence properties of the consensus-alternating direction
method of multipliers (ADMM) for solving general quadratically constrained
quadratic programs. We prove that the augmented Lagrangian function value is
monotonically non-increasing as long as the augmented Lagrangian parameter is
chosen to be sufficiently large. Simulation results show that the augmented
Lagrangian function is bounded from below when the matrix in the quadratic term
of the objective function is positive definite. In such a case, the
consensus-ADMM is convergent.Comment: 13 pages, 5 figure
Low-Complexity OFDM Spectral Precoding
This paper proposes a new large-scale mask-compliant spectral precoder
(LS-MSP) for orthogonal frequency division multiplexing systems. In this paper,
we first consider a previously proposed mask-compliant spectral precoding
scheme that utilizes a generic convex optimization solver which suffers from
high computational complexity, notably in large-scale systems. To mitigate the
complexity of computing the LS-MSP, we propose a divide-and-conquer approach
that breaks the original problem into smaller rank 1 quadratic-constraint
problems and each small problem yields closed-form solution. Based on these
solutions, we develop three specialized first-order low-complexity algorithms,
based on 1) projection on convex sets and 2) the alternating direction method
of multipliers. We also develop an algorithm that capitalizes on the
closed-form solutions for the rank 1 quadratic constraints, which is referred
to as 3) semi-analytical spectral precoding. Numerical results show that the
proposed LS-MSP techniques outperform previously proposed techniques in terms
of the computational burden while complying with the spectrum mask. The results
also indicate that 3) typically needs 3 iterations to achieve similar results
as 1) and 2) at the expense of a slightly increased computational complexity.Comment: Accepted in IEEE International Workshop on Signal Processing Advances
in Wireless Communications (SPAWC), 201
Domain Decomposition for Stochastic Optimal Control
This work proposes a method for solving linear stochastic optimal control
(SOC) problems using sum of squares and semidefinite programming. Previous work
had used polynomial optimization to approximate the value function, requiring a
high polynomial degree to capture local phenomena. To improve the scalability
of the method to problems of interest, a domain decomposition scheme is
presented. By using local approximations, lower degree polynomials become
sufficient, and both local and global properties of the value function are
captured. The domain of the problem is split into a non-overlapping partition,
with added constraints ensuring continuity. The Alternating Direction
Method of Multipliers (ADMM) is used to optimize over each domain in parallel
and ensure convergence on the boundaries of the partitions. This results in
improved conditioning of the problem and allows for much larger and more
complex problems to be addressed with improved performance.Comment: 8 pages. Accepted to CDC 201
Discrete-Continuous ADMM for Transductive Inference in Higher-Order MRFs
This paper introduces a novel algorithm for transductive inference in
higher-order MRFs, where the unary energies are parameterized by a variable
classifier. The considered task is posed as a joint optimization problem in the
continuous classifier parameters and the discrete label variables. In contrast
to prior approaches such as convex relaxations, we propose an advantageous
decoupling of the objective function into discrete and continuous subproblems
and a novel, efficient optimization method related to ADMM. This approach
preserves integrality of the discrete label variables and guarantees global
convergence to a critical point. We demonstrate the advantages of our approach
in several experiments including video object segmentation on the DAVIS data
set and interactive image segmentation
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