Linear Convergence of the Alternating Direction Method of Multipliers for a Class of Convex Optimization Problems

@article{Yang2016LinearCO,
title={Linear Convergence of the Alternating Direction Method of Multipliers for a Class of Convex Optimization Problems},
author={Wei Hong Yang and Deren Han},
journal={SIAM J. Numerical Analysis},
year={2016},
volume={54},
pages={625-640}
}

The numerical success of the alternating direction method of multipliers (ADMM) inspires much attention in analyzing its theoretical convergence rate. While there are several results on the iterative complexity results implying sublinear convergence rate for the general case, there are only a few results for the special cases such as linear programming, quadratic programming, and nonlinear programming with strongly convex functions. In this paper, we consider the convergence rate of ADMM when… CONTINUE READING