On Relationship between Primal-Dual Method of Multipliers and Kalman Filter

Guoqiang Zhang; W. Bastiaan Kleijn; Richard Heusdens

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arXiv · 1708.06881

On Relationship between Primal-Dual Method of Multipliers and Kalman Filter

Guoqiang Zhang·W. Bastiaan Kleijn·Richard Heusdens

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Abstract

Recently the primal-dual method of multipliers (PDMM), a novel distributed optimization method, was proposed for solving a general class of decomposable convex optimizations over graphic models. In this work, we first study the convergence properties of PDMM for decomposable quadratic optimizations over tree-structured graphs. We show that with proper parameter selection, PDMM converges to its optimal solution in finite number of iterations. We then apply PDMM for the causal estimation problem over a statistical linear state-space model. We show that PDMM and the Kalman filter have the same update expressions, where PDMM can be interpreted as solving a sequence of quadratic optimizations over a growing chain graph.

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BibTeX RIS

Guoqiang Zhang, W. Bastiaan Kleijn, Richard Heusdens. 2017-08-23. On Relationship between Primal-Dual Method of Multipliers and Kalman Filter. https://arxiv.org/abs/1708.06881

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