Contents

function [x, history] = lad(A, b, rho, alpha)

% lad  Least absolute deviations fitting via ADMM
%
% [x, history] = lad(A, b, rho, alpha)
%
% Solves the following problem via ADMM:
%
%   minimize     ||Ax - b||_1
%
% The solution is returned in the vector x.
%
% history is a structure that contains the objective value, the primal and
% dual residual norms, and the tolerances for the primal and dual residual
% norms at each iteration.
%
% rho is the augmented Lagrangian parameter.
%
% alpha is the over-relaxation parameter (typical values for alpha are
% between 1.0 and 1.8).
%
%
% More information can be found in the paper linked at:
% http://www.stanford.edu/~boyd/papers/distr_opt_stat_learning_admm.html
%

t_start = tic;

Global constants and defaults

QUIET    = 0;
MAX_ITER = 1000;
ABSTOL   = 1e-4;
RELTOL   = 1e-2;

[m n] = size(A);

ADMM solver

x = zeros(n,1);
z = zeros(m,1);
u = zeros(m,1);

if ~QUIET
    fprintf('%3s\t%10s\t%10s\t%10s\t%10s\t%10s\n', 'iter', ...
      'r norm', 'eps pri', 's norm', 'eps dual', 'objective');
end

for k = 1:MAX_ITER

    if k > 1
        x = R \ (R' \ (A'*(b + z - u)));
    else
        R = chol(A'*A);
        x = R \ (R' \ (A'*(b + z - u)));
    end

    zold = z;
    Ax_hat = alpha*A*x + (1-alpha)*(zold + b);
    z = shrinkage(Ax_hat - b + u, 1/rho);

    u = u + (Ax_hat - z - b);

    % diagnostics, reporting, termination checks

    history.objval(k)  = objective(z);

    history.r_norm(k)  = norm(A*x - z - b);
    history.s_norm(k)  = norm(-rho*A'*(z - zold));

    history.eps_pri(k) = sqrt(m)*ABSTOL + RELTOL*max([norm(A*x), norm(-z), norm(b)]);
    history.eps_dual(k)= sqrt(n)*ABSTOL + RELTOL*norm(rho*A'*u);

    if ~QUIET
        fprintf('%3d\t%10.4f\t%10.4f\t%10.4f\t%10.4f\t%10.2f\n', k, ...
            history.r_norm(k), history.eps_pri(k), ...
            history.s_norm(k), history.eps_dual(k), history.objval(k));
    end

    if (history.r_norm(k) < history.eps_pri(k) && ...
       history.s_norm(k) < history.eps_dual(k))
         break;
    end
end

if ~QUIET
    toc(t_start);
end

end

function obj = objective(z)
    obj = norm(z,1);
end

function y = shrinkage(a, kappa)
    y = max(0, a-kappa) - max(0, -a-kappa);
end

Published with MATLAB® 7.7