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Multi-Step Stochastic ADMM in High Dimensions: Applications to Sparse Optimization and Matrix Decomposition

Hanie Sedghi, Anima Anandkumar, Edmond Jonckheere

Neural Information Processing Systems

In this paper, we consider a multi-step version of the stochastic ADMM method with efficient guarantees for high-dimensional problems. We first analyze the simple setting, where the optimization problem consists of a loss function and asingleregularizer(e.g.