Linear Convergence Rates for Variants of the Alternating Direction Method of Multipliers in Smooth Cases

Pauline Tan ()
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Pauline Tan: Université Paris Saclay

Journal of Optimization Theory and Applications, 2018, vol. 176, issue 2, No 6, 377-398

Abstract: Abstract In the present paper, we propose a novel convergence analysis of the alternating direction method of multipliers, based on its equivalence with the overrelaxed primal–dual hybrid gradient algorithm. We consider the smooth case, where the objective function can be decomposed into one differentiable with Lipschitz continuous gradient part and one strongly convex part. Under these hypotheses, a convergence proof with an optimal parameter choice is given for the primal–dual method, which leads to convergence results for the alternating direction method of multipliers. An accelerated variant of the latter, based on a parameter relaxation, is also proposed, which is shown to converge linearly with same asymptotic rate as the primal–dual algorithm.

Keywords: Alternating direction method of multipliers; Primal–dual algorithm; Strong convexity; Linear convergence rate; 65K10; 49J52; 49K35 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s10957-017-1211-3

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