Journal
SIAM JOURNAL ON NUMERICAL ANALYSIS
Volume 51, Issue 6, Pages 3446-3457Publisher
SIAM PUBLICATIONS
DOI: 10.1137/120886753
Keywords
alternating direction method of multipliers; linear convergence rate; quadratic program; error bound
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Funding
- Institute of Computational and Theoretical Studies of Hong Kong Baptist University
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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 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.
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