On the Duality Gap Convergence of ADMM Methods

Da Tang; Tong Zhang

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arXiv · 1508.03702

On the Duality Gap Convergence of ADMM Methods

Da Tang·Tong Zhang

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Abstract

This paper provides a duality gap convergence analysis for the standard ADMM as well as a linearized version of ADMM. It is shown that under appropriate conditions, both methods achieve linear convergence. However, the standard ADMM achieves a faster accelerated convergence rate than that of the linearized ADMM. A simple numerical example is used to illustrate the difference in convergence behavior.

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Da Tang, Tong Zhang. 2015-08-15. On the Duality Gap Convergence of ADMM Methods. https://arxiv.org/abs/1508.03702

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