6,505 research outputs found
Accelerated Stochastic ADMM with Variance Reduction
Alternating Direction Method of Multipliers (ADMM) is a popular method in
solving Machine Learning problems. Stochastic ADMM was firstly proposed in
order to reduce the per iteration computational complexity, which is more
suitable for big data problems. Recently, variance reduction techniques have
been integrated with stochastic ADMM in order to get a fast convergence rate,
such as SAG-ADMM and SVRG-ADMM,but the convergence is still suboptimal w.r.t
the smoothness constant. In this paper, we propose a new accelerated stochastic
ADMM algorithm with variance reduction, which enjoys a faster convergence than
all the other stochastic ADMM algorithms. We theoretically analyze its
convergence rate and show its dependence on the smoothness constant is optimal.
We also empirically validate its effectiveness and show its priority over other
stochastic ADMM algorithms
Distributed Stochastic Market Clearing with High-Penetration Wind Power
Integrating renewable energy into the modern power grid requires
risk-cognizant dispatch of resources to account for the stochastic availability
of renewables. Toward this goal, day-ahead stochastic market clearing with
high-penetration wind energy is pursued in this paper based on the DC optimal
power flow (OPF). The objective is to minimize the social cost which consists
of conventional generation costs, end-user disutility, as well as a risk
measure of the system re-dispatching cost. Capitalizing on the conditional
value-at-risk (CVaR), the novel model is able to mitigate the potentially high
risk of the recourse actions to compensate wind forecast errors. The resulting
convex optimization task is tackled via a distribution-free sample average
based approximation to bypass the prohibitively complex high-dimensional
integration. Furthermore, to cope with possibly large-scale dispatchable loads,
a fast distributed solver is developed with guaranteed convergence using the
alternating direction method of multipliers (ADMM). Numerical results tested on
a modified benchmark system are reported to corroborate the merits of the novel
framework and proposed approaches.Comment: To appear in IEEE Transactions on Power Systems; 12 pages and 9
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Scalable Peaceman-Rachford Splitting Method with Proximal Terms
Along with developing of Peaceman-Rachford Splittling Method (PRSM), many
batch algorithms based on it have been studied very deeply. But almost no
algorithm focused on the performance of stochastic version of PRSM. In this
paper, we propose a new stochastic algorithm based on PRSM, prove its
convergence rate in ergodic sense, and test its performance on both artificial
and real data. We show that our proposed algorithm, Stochastic Scalable PRSM
(SS-PRSM), enjoys the convergence rate, which is the same as those
newest stochastic algorithms that based on ADMM but faster than general
Stochastic ADMM (which is ). Our algorithm also owns wide
flexibility, outperforms many state-of-the-art stochastic algorithms coming
from ADMM, and has low memory cost in large-scale splitting optimization
problems
A Novel Euler's Elastica based Segmentation Approach for Noisy Images via using the Progressive Hedging Algorithm
Euler's Elastica based unsupervised segmentation models have strong
capability of completing the missing boundaries for existing objects in a clean
image, but they are not working well for noisy images. This paper aims to
establish a Euler's Elastica based approach that properly deals with random
noises to improve the segmentation performance for noisy images. We solve the
corresponding optimization problem via using the progressive hedging algorithm
(PHA) with a step length suggested by the alternating direction method of
multipliers (ADMM). Technically, all the simplified convex versions of the
subproblems derived from the major framework of PHA can be obtained by using
the curvature weighted approach and the convex relaxation method. Then an
alternating optimization strategy is applied with the merits of using some
powerful accelerating techniques including the fast Fourier transform (FFT) and
generalized soft threshold formulas. Extensive experiments have been conducted
on both synthetic and real images, which validated some significant gains of
the proposed segmentation models and demonstrated the advantages of the
developed algorithm
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