Douglas–Rachford splitting and ADMM for pathological convex optimization

Abstract

Despite the vast literature on DRS and ADMM, there has been very little work analyzing their behavior under pathologies. Most analyses assume a primal solution exists, a dual solution exists, and strong duality holds. When these assumptions are not met, i.e., under pathologies, the theory often breaks down and the empirical performance may degrade significantly. In this paper, we establish that DRS only requires strong duality to work, in the sense that asymptotically iterates are approximately feasible and approximately optimal.

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Acknowledgements

Funding was provided by Division of Mathematical Sciences (DMS-1720237), Office of Naval Research Global (N000141712162).

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Correspondence to Ernest K. Ryu.

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Ryu, E.K., Liu, Y. & Yin, W. Douglas–Rachford splitting and ADMM for pathological convex optimization. Comput Optim Appl 74, 747–778 (2019). https://doi.org/10.1007/s10589-019-00130-9

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Keywords

  • Douglas–Rachford splitting
  • Strong duality
  • Pathological convex programs

Mathematics Subject Classification

  • 90C46
  • 49N15
  • 90C25