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Fixing and extending some recent results on the ADMM algorithm
- Source :
- Numerical Algorithms
- Publication Year :
- 2016
- Publisher :
- arXiv, 2016.
-
Abstract
- We investigate the techniques and ideas used in the convergence analysis of two proximal ADMM algorithms for solving convex optimization problems involving compositions with linear operators. Besides this, we formulate a variant of the ADMM algorithm that is able to handle convex optimization problems involving an additional smooth function in its objective, and which is evaluated through its gradient. Moreover, in each iteration we allow the use of variable metrics, while the investigations are carried out in the setting of infinite dimensional Hilbert spaces. This algorithmic scheme is investigated from the point of view of its convergence properties.<br />Comment: Updates in Section 2 concerning the derivation of the convergence rates + a unifying convergence theorem for the sequence of iterates
- Subjects :
- 0211 other engineering and technologies
65K05
Positive semidefinite operators
010103 numerical & computational mathematics
02 engineering and technology
01 natural sciences
90C25
symbols.namesake
Convergence (routing)
FOS: Mathematics
Point (geometry)
Mathematics - Numerical Analysis
0101 mathematics
ADMM algorithm
Mathematics - Optimization and Control
Lagrangian
Mathematics
Variable (mathematics)
Original Paper
021103 operations research
47H05
Applied Mathematics
Numerical analysis
Hilbert space
Computational mathematics
Numerical Analysis (math.NA)
Saddle points
Optimization and Control (math.OC)
Theory of computation
Convex optimization
symbols
Variable metrics
Algorithm
Subjects
Details
- Database :
- OpenAIRE
- Journal :
- Numerical Algorithms
- Accession number :
- edsair.doi.dedup.....ceee807a184d92cf8521dc97cf1e9626
- Full Text :
- https://doi.org/10.48550/arxiv.1612.05057