Apache Spark ADMM implementation

This project is an implementation of consensus form ADMM on Apache Spark.

Here is an example of solving a dense lasso problem:

val A = new BlockMatrix(sc.textFile(A_file), blockSize)
val f = L2NormSquared.fromMatrix(A, rho)
val g = new L1Norm(lambda)
var admm = new ConsensusADMMSolver(f, g, abstol, reltol, sc)
admm.solve(rho, maxiters)

For more information, see the paper