On the pointwise iteration-complexity of a dynamic regularized ADMM with over-relaxation stepsize

M.L.N. Gonçalves

Applied Mathematics and Computation, 2018, vol. 336, issue C, 315-325

Abstract: In this paper, we extend the improved pointwise iteration-complexity estimation of a dynamic regularized alternating direction method of multipliers (ADMM) for a new stepsize domain. In this complexity analysis, the stepsize parameter can be chosen in the interval (0,2) instead of interval (0,(1+5)/2). We illustrate, by means of a numerical experiment, that the enlargement of this stepsize domain can lead to better performance of the method in some applications. Our complexity study is established by interpreting this ADMM variant as an instance of a hybrid proximal extragradient framework applied to a specific monotone inclusion problem.

Keywords: Alternating direction method of multipliers; Hybrid proximal extragradient framework; Pointwise iteration-complexity; Convex programming (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:336:y:2018:i:c:p:315-325

DOI: 10.1016/j.amc.2018.04.066

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