A Note on the Alternating Direction Method of Multipliers

Deren Han () and Xiaoming Yuan ()
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Deren Han: Nanjing Normal University
Xiaoming Yuan: Hong Kong Baptist University

Journal of Optimization Theory and Applications, 2012, vol. 155, issue 1, No 12, 227-238

Abstract: Abstract We consider the linearly constrained separable convex programming, whose objective function is separable into m individual convex functions without coupled variables. The alternating direction method of multipliers has been well studied in the literature for the special case m=2, while it remains open whether its convergence can be extended to the general case m≥3. This note shows the global convergence of this extension when the involved functions are further assumed to be strongly convex.

Keywords: Alternating direction method of multipliers; Strongly convex functions; Global convergence (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (22)

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DOI: 10.1007/s10957-012-0003-z

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