How to formulate an ADMM optimization problem involving inequality constraints?

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After reading the paper Distributed Convex Optimization with Many Non-Linear Constraints, I found the answer to my question. In the section 6, the authors clearly explains the approach they took to transform an optimization problem involving inequalities into the ADMM form. I would strongly recommend reading the whole paper to get a better understanding of the concept.

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DCP

Python (TensorFlow, PyTorch, OpenCV, NumPy, Pandas), C++, C, Java, MySQL. Interested in Machine Learning.

Updated on August 01, 2022

Comments

  • DCP
    DCP over 1 year

    I have an optimization problem as shown below:

    $\begin{alignat}{2} &\!\min_{x} &\qquad & J(x) \\ &\text{subject to} & & t_{1} = x_{11}C_{11}+ x_{12}C_{21},\\ & & & t_{1} > 0,\\ & & & t_{2} = x_{21}C_{21}+ x_{22}C_{22},\\ & & & t_{2} > 0\\ \end{alignat}$

    Here, $J(x)$ is a convex function depending on the set of variables $x = \lbrace x_{11},~x_{12},~x_{21},~x_{22} \rbrace$. The entities $C_{11},~C_{12},~C_{21}$ and $ C_{22}$ are the constants belonging to the set of Real numbers. I want to solve the above optimization problem using the ADMM approach. But, the literature that I have referred to, has not given a clear method to reformulate an optimization problem shown above to the ADMM compatible form.

    However, the slide 10 in the presentation here, has formulated an optimization problem with inequality constraints in the Dual decomposition form, but I require the ADMM formulation of the similar problem involving inequalities. Also, they are $\leq$ inequalities, while the optimization problem stated above has strict $>$ inequalities. Hence, I request an approach or some good literature from the community to deal with this kind of inequalities while formulating ADMM optimization problem.

    Please note that I am a beginner in this field, and have a very little knowledge about it. So an approach with detailed explanation will be highly appreciated.

  • DCP
    DCP over 5 years
    Thanks for the response, I afterwards realized that this was a trivial task. I have edited my question little bit to make it more clear that, I actually need the approach to formulate the optimization problems involving inequalities into ADMM compatible form.