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Quantitative Finance · Glosarium

Apa itu Alternating direction method of multipliers?

Definition 24.8 Quantitative Methods · Bab 24 — Numerical Optimisation in Practice

The alternating direction method of multipliers (ADMM) minimises f(x)+g(z)f(x) + g(z) subject to x=zx = z by alternating x←prox⁡f/ρ(z−u)x \leftarrow \operatorname{prox}_{f/\rho}(z - u), z←prox⁡g/ρ(x+u)z \leftarrow \operatorname{prox}_{g/\rho}(x + u), u←u+x−zu \leftarrow u + x - z (Boyd, Parikh, Chu, Peleato and Eckstein, 2011).

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