LOCAL LINEAR CONVERGENCE OF THE ALTERNATING DIRECTION METHOD OF MULTIPLIERS FOR QUADRATIC PROGRAMS

被引：93
|
作者：
Han, Deren [1 ]
Yuan, Xiaoming [2 ]
机构：
[1] Nanjing Normal Univ, Sch Math Sci, Key Lab NSLSCS Jiangsu Prov, Nanjing 210046, Jiangsu, Peoples R China
[2] Hong Kong Baptist Univ, Inst Computat & Theoret Studies, Dept Math, Hong Kong, Hong Kong, Peoples R China
来源：
SIAM JOURNAL ON NUMERICAL ANALYSIS | 2013年 / 51卷 / 06期
关键词：
alternating direction method of multipliers; linear convergence rate; quadratic program; error bound; SPLITTING ALGORITHMS;
D O I：
10.1137/120886753
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
The Douglas-Rachford alternating direction method of multipliers (ADMM) has been widely used in various areas. The global convergence of ADMM is well known, while research on its convergence rate is still in its infancy. In this paper, we show the local linear convergence rate of ADMM for a quadratic program which includes some important applications of ADMM as special cases.
引用
收藏
页码：3446 / 3457
页数：12
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