Tight linear convergence rate bounds for Douglas-Rachford splitting and ADMM

— Douglas-Rachford splitting and the alternating direction method of multipliers (ADMM) can be used to solve convex optimization problems that consist of a sum of two functions. Convergence rate estimates for these algorithms have received much attention lately. In particular, linear convergence rates have been shown by several authors under various assumptions. One such set of assumptions is strong convexity and smoothness of one of the functions in the minimization problem. The authors recently provided a linear convergence rate bound for such problems. In this paper, we show that this rate bound is tight for many algorithm parameter choices.

• Type: Journal
• Year: 2015
• Where: CDC
• Authors: Pontus Giselsson
• Keywords: CDC 2015, Control Systems