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Optimization Seminar: Dr. Jinglai Shen

Thursday, March 12, 2020
10:30 AM – 12:00 PM
Mathematics/Psychology : 401
Title: Column Partition based Distributed Algorithms for Densely Coupled Convex Sparse Optimization
Speaker: Dr. Jinglai Shen, UMBC
Abstract:
We present column partition based distributed schemes for a class of large-scale convex sparse optimization problems, e.g., basis pursuit (BP), LASSO, basis pursuit denoising (BPDN), and their extensions, e.g., fused LASSO. We are particularly interested in the cases where the number of (scalar) decision variables is much larger than the number of (scalar) measurements, and each agent has limited memory or computing capacity such that it only knows a small number of columns of a measurement matrix. The problems in consideration are densely coupled and cannot be formulated as separable convex programs using column partition. To overcome this difficulty, we consider their dual problems which are separable or locally coupled. Once a dual solution is attained, it is shown that a primal solution can be found from the dual of corresponding regularized BP-like problems under suitable exact regularization conditions. Many existing distributed schemes can be exploited to solve the obtained dual problems.  This yields two-stage column partition based distributed schemes for LASSO-like and BPDN-like problems; the overall convergence of these schemes is established using sensitivity analysis techniques. Numerical results illustrate the effectiveness of the proposed schemes.