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1
Intro
2
Optimization for Large-scale Problems
3
Go Beyond Unconstrained Optimization
4
Random Permutation Helps
5
Outline
6
Variants of multi-block ADMM
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Apply Randomization Trick to ADMM
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Summarize ADMM Variants
9
Numerical Experiments: Cyc-ADMM Often Diverges
10
Remarks on Divergence of Cyclic ADMM
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Solve Linear System
12
Why Spectral Analysis?
13
Switched Linear System
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Theorem 2: a Pure Linear Algebra Problem
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Proof Sketch of Lemma 2
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Interesting Byproduct: New Randomization Rule
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Another Way to Apply Decomposition to Constraints
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Comparison of Algorithms (cont'd)
19
Convergence Rate of Cyclic CD
20
Relation to Other Methods
21
Another variant of matrix AM-GM inequality
Description:
Explore a lecture on optimization techniques focusing on dealing with linear constraints through random permutation. Delve into advanced concepts like multi-block ADMM variants, randomization tricks, and their applications in solving large-scale problems. Learn about the divergence of cyclic ADMM, spectral analysis of switched linear systems, and novel randomization rules. Examine the comparison of various algorithms, including cyclic coordinate descent, and their convergence rates. Gain insights into the relationship between different optimization methods and discover a new variant of the matrix AM-GM inequality.

Dealing with Linear Constraints via Random Permutation

Simons Institute
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