Local linear convergence of the alternating direction method of multipliers for quadratic programs. (English) Zbl 1285.90033
Summary: The Douglas-Rachford alternating direction method of multipliers (ADMM) has been widely used in various areas. The global convergence of ADMM is well known, while the research on its convergence rate is still in its infancy. In this paper, we show the local linear convergence rate of ADMM for a quadratic program which includes some important applications of ADMM as special cases.
MSC:
90C25 | Convex programming |
65K10 | Numerical optimization and variational techniques |
65J22 | Numerical solution to inverse problems in abstract spaces |