A linearly convergent majorized ADMM with indefinite proximal terms for convex composite programming and its applications
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Publication:4960078
Abstract: This paper aims to study a majorized alternating direction method of multipliers with indefinite proximal terms (iPADMM) for convex composite optimization problems. We show that the majorized iPADMM for 2-block convex optimization problems converges globally under weaker conditions than those used in the literature and exhibits a linear convergence rate under a local error bound condition. Based on these, we establish the linear rate convergence results for a symmetric Gaussian-Seidel based majorized iPADMM, which is designed for multi-block composite convex optimization problems. Moreover, we apply the majorized iPADMM to solve different types of regularized logistic regression problems. The numerical results on both synthetic and real datasets demonstrate the efficiency of the majorized iPADMM and also illustrate the effectiveness of the introduced indefinite proximal terms.
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Cited in
(9)- On the convergence rate of inexact majorized sGS ADMM with indefinite proximal terms for convex composite programming
- On the equivalence of inexact proximal ALM and ADMM for a class of convex composite programming
- Understanding the convergence of the preconditioned PDHG method: a view of indefinite proximal ADMM
- Majorized iPADMM for Nonseparable Convex Minimization Models with Quadratic Coupling Terms
- An inexact proximal augmented Lagrangian framework with arbitrary linearly convergent inner solver for composite convex optimization
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- Linearized proximal algorithms with adaptive stepsizes for convex composite optimization with applications
- An inexact symmetric ADMM algorithm with indefinite proximal term for sparse signal recovery and image restoration problems
- A majorized ADMM with indefinite proximal terms for linearly constrained convex composite optimization
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