A Homotopy Alternating Direction Method of Multipliers for Linearly Constrained Separable Convex Optimization

Expand

Online published: 2017-06-30

Abstract

Linearly constrained separable convex minimization problems have been raised widely in many real-world applications. In this paper, we propose a homotopybased alternating direction method of multipliers for solving this kind of problems.The proposed method owns some advantages of the classical proximal alternating direction method of multipliers and homotopy method. Under some suitable conditions, we prove global convergence and the worst-case O/(1/k)convergence rate in a nonergodic sense. Preliminary numerical results indicate effectiveness and efficiency of the proposed method compared with some state-of-the-art methods.

Cite this article

Jiao Yang · Yi-Qing Dai · Zheng Peng ·Jie-Peng Zhuang · Wen-Xing Zhu . A Homotopy Alternating Direction Method of Multipliers for Linearly Constrained Separable Convex Optimization[J]. Journal of the Operations Research Society of China, 2017 , 5(2) : 271 . DOI: 10.1007/s40305-017-0170-6

Options
Outlines

/