On the linear convergence of the alternating direction method of multipliers

We analyze the convergence rate of the alternating direction method of multipliers (ADMM) for minimizing the sum of two or more nonsmooth convex separable functions subject to linear constraints. Previous analysis of the ADMM typically assumes that the objective function is the sum of only two conve...

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Bibliographic Details
Published in:	Mathematical programming Vol. 162; no. 1-2; pp. 165 - 199
Main Authors:	Hong, Mingyi, Luo, Zhi-Quan
Format:	Journal Article
Language:	English
Published:	Berlin/Heidelberg Springer Berlin Heidelberg 01.03.2017 Springer Nature B.V
Subjects:	Algorithms Calculus of Variations and Optimal Control; Optimization Combinatorics Convergence Convex analysis Convexity Decomposition Errors Feasibility Full Length Paper Inequality Lagrange multiplier Linear programming Mathematical analysis Mathematical and Computational Physics Mathematical Methods in Physics Mathematical models Mathematics Mathematics and Statistics Mathematics of Computing Methods Multipliers Numerical Analysis Optimization Studies Texts Theoretical Error bound Linear convergence Dual ascent 49 Alternating directions of multipliers 90
ISSN:	0025-5610, 1436-4646
Online Access:	Get full text
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