196 research outputs found

    Convergence Analysis of Consensus-ADMM for General QCQP

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    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

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    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

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    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 C1C^1 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

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    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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