Application of the alternating direction method of multipliers to separable convex programming problems
- Masao Fukushima
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This paper presents a decomposition algorithm for solving convex programming problems with separable structure. The algorithm is obtained through application of the alternating direction method of multipliers to the dual of the convex programming problem to be solved. In particular, the algorithm reduces to the ordinary method of multipliers when the problem is regarded as nonseparable. Under the assumption that both primal and dual problems have at least one solution and the solution set of the primal problem is bounded, global convergence of the algorithm is established.
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- Application of the alternating direction method of multipliers to separable convex programming problems
Computational Optimization and Applications
Volume 1, Issue 1 , pp 93-111
- Cover Date
- Print ISSN
- Online ISSN
- Kluwer Academic Publishers
- Additional Links
- Convex programming
- separable problems
- alternating direction method of multipliers
- parallel algorithm
- Industry Sectors
- Masao Fukushima (1)
- Author Affiliations
- 1. Department of Applied Mathematics and Physics, Faculty of Engineering, Kyoto University, 606, Kyoto, Japan