Activity identification and local linear convergence of Douglas-Rachford/ADMM under partial smoothness

DOI10.1007/978-3-319-18461-6_51MaRDI QIDQ3300345zbMATH OpenOpenAlexFDO

Authors Jingwei Liang, Jalal Fadili, Gabriel Peyré, Russell Luke

Publication date 28 July 2020

Published in Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1412.6858

zbMATH Keywords

ADMMDouglas-Rachford splittinglocal linear convergencepartial smoothnessfinite activity identification

Mathematics Subject Classification ID

Convex programming (90C25) Machine vision and scene understanding (68T45)

Abstract: Convex optimization has become ubiquitous in most quantitative disciplines of science, including variational image processing. Proximal splitting algorithms are becoming popular to solve such structured convex optimization problems. Within this class of algorithms, Douglas--Rachford (DR) and alternating direction method of multipliers (ADMM) are designed to minimize the sum of two proper lower semi-continuous convex functions whose proximity operators are easy to compute. The goal of this work is to understand the local convergence behaviour of DR (resp. ADMM) when the involved functions (resp. their Legendre-Fenchel conjugates) are moreover partly smooth. More precisely, when both of the two functions (resp. their conjugates) are partly smooth relative to their respective manifolds, we show that DR (resp. ADMM) identifies these manifolds in finite time. Moreover, when these manifolds are affine or linear, we prove that DR/ADMM is locally linearly convergent. When $J$ and $G$ are locally polyhedral, we show that the optimal convergence radius is given in terms of the cosine of the Friedrichs angle between the tangent spaces of the identified manifolds. This is illustrated by several concrete examples and supported by numerical experiments.

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Cited in

(15)

• Local linear convergence of the ADMM/Douglas-Rachford algorithms without strong convexity and application to statistical imaging
• On the interplay between acceleration and identification for the proximal gradient algorithm
• Local linear convergence of a primal-dual algorithm for the augmented convex models
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