Improving ADMM-based optimization of Mixed Integer objectives

@article{Alavian2017ImprovingAO,
  title={Improving ADMM-based optimization of Mixed Integer objectives},
  author={Alborz Alavian and Michael Rotkowitz},
  journal={2017 51st Annual Conference on Information Sciences and Systems (CISS)},
  year={2017},
  pages={1-6}
}
We consider a class of mixed integer programs where the problem is convex except for a vector of discrete variables. Two methods based on the Alternating Direction Method of Multipliers (ADMM) are presented. The first, which has appeared in the recent literature, duplicates the discrete variable, with one copy allowed to vary continuously. This results in a simple projection, or rounding, to determine the discrete variable at each iteration. We introduce an alternate method, whereby part of the… CONTINUE READING

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