Convergence rates for an inexact ADMM applied to separable convex optimization
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Publication:2023686
Abstract: Convergence rates are established for an inexact accelerated alternating direction method of multipliers (I-ADMM) for general separable convex optimization with a linear constraint. Both ergodic and non-ergodic iterates are analyzed. Relative to the iteration number k, the convergence rate is O(1/k) in a convex setting and O(1/k^2) in a strongly convex setting. When an error bound condition holds, the algorithm is 2-step linearly convergent. The I-ADMM is designed so that the accuracy of the inexact iteration preserves the global convergence rates of the exact iteration, leading to better numerical performance in the test problems.
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Cited in
(15)- Convergence of the augmented decomposition algorithm
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