Fixing and extending some recent results on the ADMM algorithm
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Abstract: We investigate the techniques and ideas used in the convergence analysis of two proximal ADMM algorithms for solving convex optimization problems involving compositions with linear operators. Besides this, we formulate a variant of the ADMM algorithm that is able to handle convex optimization problems involving an additional smooth function in its objective, and which is evaluated through its gradient. Moreover, in each iteration we allow the use of variable metrics, while the investigations are carried out in the setting of infinite dimensional Hilbert spaces. This algorithmic scheme is investigated from the point of view of its convergence properties.
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Cited in
(15)- An alternating direction method of multipliers with the BFGS update for structured convex quadratic optimization
- Continuous dynamics related to monotone inclusions and non-smooth optimization problems
- First-order methods for convex optimization
- A linearly convergent majorized ADMM with indefinite proximal terms for convex composite programming and its applications
- Improving ADMMs for solving doubly nonnegative programs through dual factorization
- Efficient and convergent preconditioned ADMM for the Potts models
- The geometry of monotone operator splitting methods
- Some extensions of the operator splitting schemes based on Lagrangian and primal–dual: a unified proximal point analysis
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- The proximal alternating minimization algorithm for two-block separable convex optimization problems with linear constraints
- ADMM for monotone operators: convergence analysis and rates
- Approximate ADMM algorithms derived from Lagrangian splitting
- A proximal ADMM with the Broyden family for convex optimization problems
- An inertial alternating direction method of multipliers
- Automated tight Lyapunov analysis for first-order methods
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