Tight linear convergence rate bounds for Douglas-Rachford splitting and ADMM

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Sammanfattning

Douglas-Rachford splitting and the alternating direction method of multipliers (ADMM) can be used to solve convex optimization problems that consist of a sum of two functions. Convergence rate estimates for these algorithms have received much attention lately. In particular, linear convergence rates have been shown by several authors under various assumptions. One such set of assumptions is strong convexity and smoothness of one of the functions in the minimization problem. The authors recently provided a linear convergence rate bound for such problems. In this paper, we show that this rate bound is tight for the class of problems under consideration.

Originalspråkengelska
Titel på värdpublikationProceedings of the IEEE Conference on Decision and Control
FörlagIEEE - Institute of Electrical and Electronics Engineers Inc.
Sidor3305-3310
Antal sidor6
Volym2016
ISBN (tryckt)9781479978861
DOI
StatusPublished - 2016 feb. 8
Evenemang54th IEEE Conference on Decision and Control, CDC 2015 - Osaka, Japan
Varaktighet: 2015 dec. 152015 dec. 18
Konferensnummer: 54

Konferens

Konferens54th IEEE Conference on Decision and Control, CDC 2015
Förkortad titelCDC 2015
Land/TerritoriumJapan
OrtOsaka
Period2015/12/152015/12/18

Ämnesklassifikation (UKÄ)

  • Matematik

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