A linearly convergent majorized ADMM with indefinite proximal terms for convex composite programming and its applications
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Publication:4960078
DOI10.1090/MCOM/3506zbMATH Open1441.90123arXiv1706.01698OpenAlexW2989744206WikidataQ126655104 ScholiaQ126655104MaRDI QIDQ4960078FDOQ4960078
Authors: Ning Zhang, Jia Wu, Liwei Zhang 
Publication date: 8 April 2020
Published in: Mathematics of Computation (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1706.01698
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logistic regressionalternating direction method of multiplierlinear rate convergenceindefinite proximal termsymmetric Gauss-Seidel decomposition
Numerical mathematical programming methods (65K05) Convex programming (90C25) Generalized linear models (logistic models) (62J12) Nonlinear programming (90C30)
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Cited In (8)
- 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
- On the Convergence Rate of Inexact Majorized sGS ADMM with Indefinite Proximal Terms for Convex Composite Programming
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- An Efficient Inexact Gauss–Seidel-Based Algorithm for Image Restoration with Mixed Noise
- 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
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