On the convergence properties of a majorized alternating direction method of multipliers for linearly constrained convex optimization problems with coupled objective functions
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Abstract: In this paper, we establish the convergence properties for a majorized alternating direction method of multipliers (ADMM) for linearly constrained convex optimization problems whose objectives contain coupled functions. Our convergence analysis relies on the generalized Mean-Value Theorem which plays an important role to properly control the cross terms due to the presence of coupled objective functions. Our results in particular show that directly applying 2-block ADMM with a large step length to the linearly constrained convex optimization problem with a quadratically coupled objective function is convergent under mild conditions. We also provide several iteration complexity results for the algorithm.
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- On the convergence rate of inexact majorized sGS ADMM with indefinite proximal terms for convex composite programming
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- The proximal alternating direction method of multipliers in the nonconvex setting: convergence analysis and rates
- Convergence of Bregman Peaceman-Rachford splitting method for nonconvex nonseparable optimization
- Extended ADMM and BCD for nonseparable convex minimization models with quadratic coupling terms: convergence analysis and insights
- A generalized alternating direction method of multipliers with semi-proximal terms for convex composite conic programming
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- A primal-dual dynamical approach to structured convex minimization problems
- Decomposition methods for computing directional stationary solutions of a class of nonsmooth nonconvex optimization problems
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- An accelerated proximal alternating direction method of multipliers for optimal decentralized control of uncertain systems
- A partially inexact proximal alternating direction method of multipliers and its iteration-complexity analysis
- A linear approximate Bregman-type Peaceman-Rachford splitting method for nonconvex nonseparable optimization
- A partially feasible Jacobi-type distributed SQO method for two-block general linearly constrained smooth optimization
- Two linear proximal Peaceman-Rachford splitting algorithms for nonconvex and nonsmooth nonseparable optimization
- A majorized ADMM with indefinite proximal terms for linearly constrained convex composite optimization
- On the pointwise iteration-complexity of a dynamic regularized ADMM with over-relaxation stepsize
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