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arXiv · 1705.08389

A Derandomized Algorithm for RP-ADMM with Symmetric Gauss-Seidel Method

Jinchao Xu·Kailai Xu·Yinyu Ye
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Abstract

For multi-block alternating direction method of multipliers(ADMM), where the objective function can be decomposed into multiple block components, we show that with block symmetric Gauss-Seidel iteration, the algorithm will converge quickly. The method will apply a block symmetric Gauss-Seidel iteration in the primal update and a linear correction that can be derived in view of Richard iteration. We also establish the linear convergence rate for linear systems.

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Jinchao Xu, Kailai Xu, Yinyu Ye. 2017-05-23. A Derandomized Algorithm for RP-ADMM with Symmetric Gauss-Seidel Method. https://arxiv.org/abs/1705.08389

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