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A Partially Inexact Proximal Alternating Direction Method of Multipliers and Its Iteration-Complexity Analysis

  • Vando A. Adona
  • Max L. N. GonçalvesEmail author
  • Jefferson G. Melo
Article
  • 53 Downloads

Abstract

This paper proposes a partially inexact proximal alternating direction method of multipliers for computing approximate solutions of a linearly constrained convex optimization problem. This method allows its first subproblem to be solved inexactly using a relative approximate criterion, whereas a proximal term is added to its second subproblem in order to simplify it. A stepsize parameter is included in the updating rule of the Lagrangian multiplier to improve its computational performance. Pointwise and ergodic iteration-complexity bounds for the proposed method are established. To the best of our knowledge, this is the first time that complexity results for an inexact alternating direction method of multipliers with relative error criteria have been analyzed. Some preliminary numerical experiments are reported to illustrate the advantages of the new method.

Keywords

Alternating direction method of multipliers Relative error criterion Hybrid extragradient method Convex program Pointwise iteration-complexity Ergodic iteration-complexity 

Mathematics Subject Classification

47H05 49M27 90C25 90C60 65K10 

Notes

Acknowledgements

The work of these authors was supported in part by CAPES, CNPq Grants 302666/2017-6 and 406975/2016-7. We thank the reviewers for their careful reading and comments.

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© Springer Science+Business Media, LLC, part of Springer Nature 2019

Authors and Affiliations

  1. 1.IMEUniversidade Federal de GoiásGoiâniaBrazil

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