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arXiv · 1705.07229

Iteration-complexity of a Jacobi-type non-Euclidean ADMM for multi-block linearly constrained nonconvex programs

Jefferson G. Melo·Renato D. C. Monteiro
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Abstract

This paper establishes the iteration-complexity of a Jacobi-type non-Euclidean proximal alternating direction method of multipliers (ADMM) for solving multi-block linearly constrained nonconvex programs. The subproblems of this ADMM variant can be solved in parallel and hence the method has great potential to solve large scale multi-block linearly constrained nonconvex programs. Moreover, our analysis allows the Lagrange multiplier to be updated with a relaxation parameter in the interval (0, 2).

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Jefferson G. Melo, Renato D. C. Monteiro. 2017-05-20. Iteration-complexity of a Jacobi-type non-Euclidean ADMM for multi-block linearly constrained nonconvex programs. https://arxiv.org/abs/1705.07229

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