Continuous Optimization

Block-Wise ADMM with a Relaxation Factor for Multiple-Block Convex Programming

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  • 1 Department of Mathematics, South University of Science and Technology, Shenzhen 518055,Guangdong, China
    2 Department of Mathematics, Nanjing University, Nanjing 210093, China
    3 School of Mathematics and Physics, Changzhou University, Changzhou 213164, Jiangsu, China
    4 Department of Mathematics, The University of Hong Kong, Hong Kong, China

Online published: 2018-12-30

Supported by

Bing-Sheng He and Ming-Hua Xu were supported by the National Natural Science Foundation of China (No. 11471156).
Xiao-Ming Yuan was supported by the General Research Fund from Hong Kong Research Grants Council (No. HKBU 12313516).

Abstract

It has been shown that the alternating direction method of multipliers (ADMM) is not necessarily convergent when it is directly extended to a multiple-block linearly constrained convex minimization model with an objective function that is in the sum of more than two functions without coupled variables. Recently, we proposed the block-wise ADMM, which was obtained by regrouping the variables and functions of such a model as two blocks and then applying the original ADMM in block-wise. This note is a further study on this topic with the purpose of showing that a well-known relaxation factor proposed by Fortin and Glowinski for iteratively updating the Lagrangian multiplier of the original ADMM can also be used in the block-wise ADMM. We thus propose the block-wise ADMM with Fortin and Glowinski’s relaxation factor for the multiple-block convex minimization model. Like the block-wise ADMM, we also suggest further decomposing the resulting subproblems and regularizing them by proximal terms to ensure the convergence. For the block-wise ADMM with Fortin and Glowinski’s relaxation factor, its convergence and worst-case convergence rate measured by the iteration complexity in the ergodic sense are derived.

Cite this article

Bing-Sheng He,Ming-Hua Xu,Xiao-Ming Yuan .

Block-Wise ADMM with a Relaxation Factor for Multiple-Block Convex Programming
[J]. Journal of the Operations Research Society of China, 2018 , 6(4) : 485 -506 . DOI: https://doi.org/10.1007/s40305-017-0186-y

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