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 $N$ convex functions with $N$-block variables linked by some linear constraints. While the convergence of the ADMM for $N=2$ was well established in the literature, it remained an open problem for a long time whether or not the ADMM for $N \ge 3$ is still convergent. Recently, it was shown in [3] that without further conditions the ADMM for $N\ge 3$ 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 $N\geq 3$ 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 $N\ge 3$. Our study aims to offer an explanation for this phenomenon

Convolutional Dictionary Learning: Acceleration and Convergence

Convolutional dictionary learning (CDL or sparsifying CDL) has many applications in image processing and computer vision. There has been growing interest in developing efficient algorithms for CDL, mostly relying on the augmented Lagrangian (AL) method or the variant alternating direction method of multipliers (ADMM). When their parameters are properly tuned, AL methods have shown fast convergence in CDL. However, the parameter tuning process is not trivial due to its data dependence and, in practice, the convergence of AL methods depends on the AL parameters for nonconvex CDL problems. To moderate these problems, this paper proposes a new practically feasible and convergent Block Proximal Gradient method using a Majorizer (BPG-M) for CDL. The BPG-M-based CDL is investigated with different block updating schemes and majorization matrix designs, and further accelerated by incorporating some momentum coefficient formulas and restarting techniques. All of the methods investigated incorporate a boundary artifacts removal (or, more generally, sampling) operator in the learning model. Numerical experiments show that, without needing any parameter tuning process, the proposed BPG-M approach converges more stably to desirable solutions of lower objective values than the existing state-of-the-art ADMM algorithm and its memory-efficient variant do. Compared to the ADMM approaches, the BPG-M method using a multi-block updating scheme is particularly useful in single-threaded CDL algorithm handling large datasets, due to its lower memory requirement and no polynomial computational complexity. Image denoising experiments show that, for relatively strong additive white Gaussian noise, the filters learned by BPG-M-based CDL outperform those trained by the ADMM approach.Comment: 21 pages, 7 figures, submitted to IEEE Transactions on Image Processin