25 research outputs found
Iteration Complexity Analysis of Multi-Block ADMM for a Family of Convex Minimization without Strong Convexity
The alternating direction method of multipliers (ADMM) is widely used in
solving structured convex optimization problems due to its superior practical
performance. On the theoretical side however, a counterexample was shown in [7]
indicating that the multi-block ADMM for minimizing the sum of
convex functions with block variables linked by linear constraints may
diverge. It is therefore of great interest to investigate further sufficient
conditions on the input side which can guarantee convergence for the
multi-block ADMM. The existing results typically require the strong convexity
on parts of the objective. In this paper, we present convergence and
convergence rate results for the multi-block ADMM applied to solve certain
-block convex minimization problems without requiring strong
convexity. Specifically, we prove the following two results: (1) the
multi-block ADMM returns an -optimal solution within
iterations by solving an associated perturbation to the
original problem; (2) the multi-block ADMM returns an -optimal
solution within iterations when it is applied to solve a
certain sharing problem, under the condition that the augmented Lagrangian
function satisfies the Kurdyka-Lojasiewicz property, which essentially covers
most convex optimization models except for some pathological cases.Comment: arXiv admin note: text overlap with arXiv:1408.426
On the Global Linear Convergence of the ADMM with Multi-Block Variables
The alternating direction method of multipliers (ADMM) has been widely used
for solving structured convex optimization problems. In particular, the ADMM
can solve convex programs that minimize the sum of convex functions with
-block variables linked by some linear constraints. While the convergence of
the ADMM for was well established in the literature, it remained an open
problem for a long time whether or not the ADMM for is still
convergent. Recently, it was shown in [3] that without further conditions the
ADMM for may actually fail to converge. In this paper, we show that
under some easily verifiable and reasonable conditions the global linear
convergence of the ADMM when can still be assured, which is important
since the ADMM is a popular method for solving large scale multi-block
optimization models and is known to perform very well in practice even when
. Our study aims to offer an explanation for this phenomenon