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Convergence rates for an inexact ADMM applied to separable convex optimization
Computational Optimization and Applications ( IF 1.6 ) Pub Date : 2020-08-25 , DOI: 10.1007/s10589-020-00221-y
William W. Hager , Hongchao Zhang

Convergence rates are established for an inexact accelerated alternating direction method of multipliers (I-ADMM) for general separable convex optimization with a linear constraint. Both ergodic and non-ergodic iterates are analyzed. Relative to the iteration number k, the convergence rate is \(\mathcal{{O}}(1/k)\) in a convex setting and \(\mathcal{{O}}(1/k^2)\) in a strongly convex setting. When an error bound condition holds, the algorithm is 2-step linearly convergent. The I-ADMM is designed so that the accuracy of the inexact iteration preserves the global convergence rates of the exact iteration, leading to better numerical performance in the test problems.



中文翻译:

不精确ADMM的收敛速度应用于可分离凸优化

建立了不精确的乘积交替交替方向方法(I-ADMM)的收敛速度,用于具有线性约束的一般可分离凸优化。遍历遍历和非遍历遍历都被分析。相对于迭代次数k,在凸设置下,收敛速度为\(\ mathcal {{O}}(1 / k)\),而\(\ mathcal {{O}}(1 / k ^ 2)\)在强凸的环境中。当误差边界条件成立时,该算法为两步线性收敛。在I-ADMM被设计成不精确迭代的准确性保留的全局收敛速度精确的迭代,从而导致测试问题,更好的数值性能。

更新日期:2020-08-25
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