Wiley StatsRef: Statistics Reference Online 2021
DOI: 10.1002/9781118445112.stat08314
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A Gentle Introduction to ADMM for Statistical Problems

Abstract: Alternating direction method of multipliers (ADMM) has been widely adopted to solve structured optimization problems arising from statistics. In this article, we give a gentle introduction to ADMM for solving these problems. Variants of ADMM, convergence guarantees, and practical issues are also discussed.

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