On the Global and Linear Convergence of the Generalized Alternating Direction Method of Multipliers

@article{Deng2016OnTG,
  title={On the Global and Linear Convergence of the Generalized Alternating Direction Method of Multipliers},
  author={Wei Deng and Wotao Yin},
  journal={J. Sci. Comput.},
  year={2016},
  volume={66},
  pages={889-916}
}
The formulation min x,y f(x) + g(y), subject to Ax+By = b, where f and g are extended-value convex functions, arises in many application areas such as signal processing, imaging and image processing, statistics, and machine learning either naturally or after variable splitting. In many common problems, one of the two objective functions is strictly convex and has Lipschitz continuous gradient. On this kind of problem, a very effective approach is the alternating direction method of multipliers… CONTINUE READING
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