A Proximal Alternating Direction Method of Multipliers with a Substitution Procedure

Miantao Chao, Yongxin Zhao and Dongying Liang

Mathematical Problems in Engineering, 2020, vol. 2020, 1-12

Abstract:

In this paper, we considers the separable convex programming problem with linear constraints. Its objective function is the sum of individual blocks with nonoverlapping variables and each block consists of two functions: one is smooth convex and the other one is convex. For the general case , we present a gradient-based alternating direction method of multipliers with a substitution. For the proposed algorithm, we prove its convergence via the analytic framework of contractive-type methods and derive a worst-case convergence rate in nonergodic sense. Finally, some preliminary numerical results are reported to support the efficiency of the proposed algorithm.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:7876949

DOI: 10.1155/2020/7876949

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