Douglas-Rachford splitting and admm for nonconvex optimization: Tight convergence results

Andreas Themelis, Panagiotis Patrinos

Research output: Contribution to journalArticlepeer-review

Abstract

Although originally designed and analyzed for convex problems, the alternating direction method of multipliers (ADMM) and its close relatives, Douglas-Rachford splitting (DRS) and Peaceman-Rachford splitting (PRS), have been observed to perform remarkably well when applied to certain classes of structured nonconvex optimization problems. However, partial global convergence results in the nonconvex setting have only recently emerged. In this paper we show how the Douglas-Rachford envelope (DRE), introduced in 2014, can be employed to unify and considerably simplify the theory for devising global convergence guarantees for ADMM, DRS and PRS applied to nonconvex problems under less restrictive conditions, larger prox-stepsizes and over-relaxation parameters than previously known. In fact, our bounds are tight whenever the over-relaxation parameter ranges in (0; 2]. The analysis of ADMM uses a universal primal equivalence with DRS that generalizes the known duality of the algorithms.

MSC Codes 90C06, 90C25, 90C26, 90C53, 49J52, 49J53

Original languageEnglish
JournalUnknown Journal
Publication statusPublished - Sep 17 2017
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • General

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