Preconditioned ADMM for a Class of Bilinear Programming Problems

Xiaobo Liang and Jianchao Bai

Mathematical Problems in Engineering, 2018, vol. 2018, 1-9

Abstract:

We design a novel preconditioned alternating direction method for solving a class of bilinear programming problems, where each subproblem is solved by adding a positive-definite regularization term with a proximal parameter. By the aid of the variational inequality, the global convergence of the proposed method is analyzed and a worst-case convergence rate in an ergodic sense is established. Several preliminary numerical examples, including the Markowitz portfolio optimization problem, are also tested to verify the performance of the proposed method.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:5694201

DOI: 10.1155/2018/5694201

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