Identifying Infeasible, Unbounded, and Pathological Conic Programs by ADMM/DRS
主 题: Identifying Infeasible, Unbounded, and Pathological Conic Programs by ADMM/DRS
报告人: Prof. Wotao Yin, UCLA
时 间: 2017-06-19 10:30 - 2017-06-19 11:30
地 点: Room 29, Quan Zhai, BICMR
In this talk, we present a method for identifying infeasible, unbounded, and pathological conic programs based on Douglas-Rachford splitting, or equivalently ADMM. When an optimization program is infeasible, unbounded, or pathological, the iterates of Douglas-Rachford splitting diverge. Somewhat surprisingly, such divergent iterates still provide useful information, which our method uses for identification. As a first-order method, the proposed algorithm relies on simple subroutines and therefore is simple to implement and has low per-iteration cost.
\nThis is joint work with Yanli Liu and Ernest Ryu.