A General Continuous-Time Formulation of Stochastic ADMM and Its Variants

Abstract: Stochastic versions of the alternating direction method of multiplier (ADMM) and its variants play a key role in many modern large-scale machine learning problems. In this work, we introduce a unified algorithmic framework called generalized stochastic ADMM and investigate their continuous-time analysis. The generalized framework widely includes many stochastic ADMM variants such as standard, linearized and gradient-based ADMM. Our continuous-time analysis provides us with new insights into stochastic ADMM and variants, and we rigorously prove that under some proper scaling, the trajectory of stochastic ADMM weakly converges to the solution of a stochastic differential equation with small noise. Our analysis also provides a theoretical explanation of why the relaxation parameter should be chosen between 0 and 2.