Alternating direction method of multipliers with variable metric indefinite proximal terms for convex optimization
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Abstract: This paper studies a proximal alternating direction method of multipliers (ADMM) with variable metric indefinite proximal terms for linearly constrained convex optimization problems. The proximal ADMM plays an important role in many application areas, since the subproblems of the method are easy to solve. Recently, it is reported that the proximal ADMM with a certain fixed indefinite proximal term is faster than that with a positive semidefinite term, and still has the global convergence property. On the other hand, Gu and Yamashita studied a variable metric semidefinite proximal ADMM whose proximal term is generated by the BFGS update. They reported that a slightly indefinite matrix also makes the algorithm work well in their numerical experiments. Motivated by this fact, we consider a variable metric indefinite proximal ADMM, and give sufficient conditions on the proximal terms for the global convergence. Moreover, we propose a new indefinite proximal term based on the BFGS update which can satisfy the conditions for the global convergence.
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- scientific article; zbMATH DE number 3833218 (Why is no real title available?)
- scientific article; zbMATH DE number 3574917 (Why is no real title available?)
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Cited in
(8)- An alternating direction method of multipliers with the BFGS update for structured convex quadratic optimization
- Linearized symmetric multi-block ADMM with indefinite proximal regularization and optimal proximal parameter
- Symmetric alternating direction method with indefinite proximal regularization for linearly constrained convex optimization
- Pointwise and ergodic convergence rates of a variable metric proximal alternating direction method of multipliers
- A self-adaptive generalized alternating direction method of multipliers
- Fixing and extending some recent results on the ADMM algorithm
- Generalized ADMM with optimal indefinite proximal term for linearly constrained convex optimization
- A new accelerated positive-indefinite proximal ADMM for constrained separable convex optimization problems
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