A UNIFIED ALGORITHMIC FRAMEWORK OF SYMMETRIC GAUSS-SEIDEL DECOMPOSITION BASED PROXIMAL ADMMS FOR CONVEX COMPOSITE PROGRAMMING

• 来源期刊: 计算数学（英文版）
• 关键词: Convex optimization Multi-block Alternating direction method of multipliers Symmetric Gauss-Seidel decomposition Majorization
• 年，卷（期）: 2019,（6）
• 页码范围: 739-757
• 页数: 19页
• 语种: 英文
• DOI: 10.4208/jcm.1803-m2018-0278

摘要

This paper aims to present a fairly accessible generalization of several symmetric GaussSeidel decomposition based multi-block proximal alternating direction methods of multipliers (ADMMs) for convex composite optimization problems.The proposed method unifies and refines many constructive techniques that were separately developed for the computational efficiency of multi-block ADMM-type algorithms.Specifically,the majorized augmented Lagrangian functions,the indefinite proximal terms,the inexact symmetric Gauss-Seidel decomposition theorem,the tolerance criteria of approximately solving the subproblems,and the large dual step-lengths,are all incorporated in one algorithmic framework,which we named as sGS-imiPADMM.From the popularity of convergent variants of multi-block ADMMs in recent years,especially for high-dimensional multi-block convex composite conic programming problems,the unification presented in this paper,as well as the corresponding convergence results,may have the great potential of facilitating the implementation of many multi-block ADMMs in various problem settings.