A Semismooth Newton Method for Fast, Generic Convex Programming (1705.00772v2)

Abstract: We introduce Newton-ADMM, a method for fast conic optimization. The basic idea is to view the residuals of consecutive iterates generated by the alternating direction method of multipliers (ADMM) as a set of fixed point equations, and then use a nonsmooth Newton method to find a solution; we apply the basic idea to the Splitting Cone Solver (SCS), a state-of-the-art method for solving generic conic optimization problems. We demonstrate theoretically, by extending the theory of semismooth operators, that Newton-ADMM converges rapidly (i.e., quadratically) to a solution; empirically, Newton-ADMM is significantly faster than SCS on a number of problems. The method also has essentially no tuning parameters, generates certificates of primal or dual infeasibility, when appropriate, and can be specialized to solve specific convex problems.