ADMM: ADMM : Algorithms using Alternating Direction Method of...

Description

Description

An introduction of Alternating Direction Method of Multipliers (ADMM) method has been a breakthrough in solving complex and non-convex optimization problems in a reasonably stable as well as scalable fashion. Our package aims at providing handy tools for fast computation on well-known problems using the method. For interested users/readers, please visit Prof. Stephen Boyd's website entirely devoted to the topic. Below is the list of functions supported,

FUNCTION Algorithm
admm.bp Basis Pursuit
admm.enet Elastic Net Regularization
admm.genlasso Generalized LASSO
admm.lad Least Absolute Deviations
admm.lasso Least Absolute Shrinkage and Selection Operator
admm.rpca Robust Principal Component Analysis
admm.spca Sparse Principal Component Analysis
admm.tv Total Variation Minimization

ADMM documentation built on Sept. 29, 2018, 1:04 a.m.