ADMM

Solving Quadratic Programs with Slack Variables via ADMM without Increasing the Problem Size

We propose a simple ADMM scheme to tackle QPs with slack variables without increasing the size of the original problem. The only modification is a slightly different projection in the z-update, while the rest of the algorithm remains standard. We prove that the method is equivalent to applying ADMM to the QP with additional slack variables, even though slack variables are not added. Numerical experiments show speedups of the approach.