An ADMM algorithm for solving a proximal bound-constrained quadratic program

12/29/2014

∙

by   Miguel Á. Carreira-Perpiñán, et al.

∙

0

∙

share

We consider a proximal operator given by a quadratic function subject to bound constraints and give an optimization algorithm using the alternating direction method of multipliers (ADMM). The algorithm is particularly efficient to solve a collection of proximal operators that share the same quadratic form, or if the quadratic program is the relaxation of a binary quadratic problem.