An Approximate ADMM for Solving Linearly Constrained Nonsmooth Optimization Problems with Two Blocks of Variables
Nonsmooth convex optimization problems with two blocks of variables subject to linear constraints are considered. A new version of the alternating direction method of multipliers is developed for solving these problems. In this method the subproblems are solved approximately. The convergence of the method is studied. New test problems are designed and used to verify the efficiency of the proposed method and to compare it with two versions of the proximal bundle method.
KeywordsNonsmooth optimization Constrained optimization Convex programming Subgradient methods
Mathematics Subject Classification (2000)Primary 90C25; Secondary 49J52
The authors would like to thank the anonymous referee for valuable comments that helped to improve the quality of this paper.
This research was started when Dr. A.M. Bagirov visited Chongqing Normal University and the visit was supported by this university. The research by A.M. Bagirov and S.Taheri was also supported by Australian Research Council’s Discovery Projects funding scheme (Project No. DP190100580).
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