A Majorized ADMM with Indefinite Proximal Terms for Linearly Constrained Convex Composite Optimization

@article{Li2016AMA,
  title={A Majorized ADMM with Indefinite Proximal Terms for Linearly Constrained Convex Composite Optimization},
  author={Min Li and Defeng Sun and Kim-Chuan Toh},
  journal={SIAM Journal on Optimization},
  year={2016},
  volume={26},
  pages={922-950}
}
This paper presents a majorized alternating direction method of multipliers (ADMM) with indefinite proximal terms for solving linearly constrained 2-block convex composite optimization problems with each block in the objective being the sum of a nonsmooth convex function (p(x) or q(y)) and a smooth convex function (f(x) or g(y)), i.e., minx∈X , y∈Y{p(x) + f(x) + q(y) + g(y) | A∗x + B∗y = c}. By choosing the indefinite proximal terms properly, we establish the global convergence and the… CONTINUE READING