Iteration-complexity of a Jacobi-type non-Euclidean ADMM for multi-block linearly constrained nonconvex programs
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Publication:6286906
Numerical optimization and variational techniques (65K10) Convex programming (90C25) Nonconvex programming, global optimization (90C26) Nonlinear programming (90C30) Abstract computational complexity for mathematical programming problems (90C60) Variational and other types of inclusions (47J22) Decomposition methods (49M27)
Abstract: This paper establishes the iteration-complexity of a Jacobi-type non-Euclidean proximal alternating direction method of multipliers (ADMM) for solving multi-block linearly constrained nonconvex programs. The subproblems of this ADMM variant can be solved in parallel and hence the method has great potential to solve large scale multi-block linearly constrained nonconvex programs. Moreover, our analysis allows the Lagrange multiplier to be updated with a relaxation parameter in the interval (0, 2).
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