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On non-ergodic convergence rate of Douglas-Rachford alternating direction method of multipliers

Bingsheng He(hebma***at***nju.edu.cn)
Xiaoming Yuan(xmyuan***at***hkbu.edu.hk)

Abstract: Recently, a worst-case O(1/t) convergence rate was established for the Douglas-Rachford alternating direction method of multipliers in an ergodic sense. This note proposes a novel approach to derive the same convergence rate while in a non-ergodic sense.

Keywords: Alternating direction method of multipliers, convergence rate, non-ergodic, separable convex programming

Category 1: Convex and Nonsmooth Optimization (Convex Optimization )


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Entry Submitted: 01/16/2012
Entry Accepted: 01/16/2012
Entry Last Modified: 01/16/2012

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