Adaptive Consensus ADMM for Distributed Optimization

Zheng Xu, Gavin Taylor, Hao Li, Mario Figueiredo, Xiaoming Yuan, Tom Goldstein

The alternating direction method of multipliers (ADMM) is commonly used for distributed model fitting problems, but its performance and reliability depend strongly on user-defined penalty parameters. We study distributed ADMM methods that boost performance by using different fine-tuned algorithm parameters on each worker node. We present a O(1/k) convergence rate for adaptive ADMM methods with node-specific parameters, and propose adaptive consensus ADMM (ACADMM), which automatically tunes parameters without user oversight.

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