The alternating direction method of multipliers (ADMM) minimises subject to by alternating , , (Boyd, Parikh, Chu, Peleato and Eckstein, 2011).
Quantitative Finance · Glosarium
Quantitative Finance · Glosarium
The alternating direction method of multipliers (ADMM) minimises subject to by alternating , , (Boyd, Parikh, Chu, Peleato and Eckstein, 2011).