LOCAL LINEAR CONVERGENCE OF THE ALTERNATING DIRECTION METHOD OF MULTIPLIERS FOR QUADRATIC PROGRAMS

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.