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On the Global Linear Convergence of the ADMM with Multi-Block Variables

Tianyi Lin (tylin***at***se.cuhk.edu.hk)
Shiqian Ma (sqma***at***se.cuhk.edu.hk)
Shuzhong Zhang (zhangs***at***umn.edu)

Abstract: The alternating direction method of multipliers (ADMM) has been widely used for solving structured convex optimization problems. In particular, the ADMM can solve convex programs that minimize the sum of $N$ convex functions with $N$-block variables linked by some linear constraints. While the convergence of the ADMM for $N=2$ was well established in the literature, it remained an open problem for a long time whether or not the ADMM for $N \ge 3$ is still convergent. Recently, it was shown in [3] that without further conditions the ADMM for $N\ge 3$ may actually fail to converge. In this paper, we show that under some easily verifiable and reasonable conditions the global linear convergence of the ADMM when $N\geq 3$ can still be assured, which is important since the ADMM is a popular method for solving large scale multi-block optimization models and is known to perform very well in practice even when $N\ge 3$. Our study aims to offer an explanation for this phenomenon.

Keywords: Alternating Direction Method of Multipliers, Global Linear Convergence, Convex Optimization

Category 1: Convex and Nonsmooth Optimization

Citation:

Download: [PDF]

Entry Submitted: 08/19/2014
Entry Accepted: 08/19/2014
Entry Last Modified: 05/24/2015

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