ADMM, Accelerated-ADMM, and Continuous Dynamical Systems

June 12, 2018, 9:10 AM - 9:40 AM



Rutgers University

CoRE Building

96 Frelinghuysen Road

Piscataway, NJ 08854

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Daniel Robinson, Johns Hopkins University

We derive differential equations that model the continuous limit of the iterate sequence generated by the alternating direction method of multipliers (ADMM), as well as an accelerated variant. The dynamical system associated with the accelerated variant corresponds to a nonlinear generalization of a damped harmonic oscillator. We employ the direct method of Lyapunov to analyze the stability of critical points and to obtain convergence rates. Our results strengthen the connection between commonly used optimization algorithms and continuous dynamical systems. 



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