Distributed Majorization-Minimization for Laplacian Regularized Problems

IEEE-CAA Journal of Automatica Sinica, 6(1):45–52, 2019.

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We consider the problem of minimizing a block separable convex function (possibly nondifferentiable, and including constraints) plus Laplacian regularization, a problem that arises in applications including model fitting, regularizing stratified models, and multi-period portfolio optimization. We develop a distributed majorization-minimization method for this general problem, and derive a complete, self-contained, general, and simple proof of convergence. Our method is able to scale to very large problems, and we illustrate our approach on two applications, demonstrating its benefit.