Inexact variants of the alternating direction method of multipliers and their iteration-complexity analyses

Detalhes bibliográficos
Ano de defesa: 2019
Autor(a) principal: Adona, Vando Antônio lattes
Orientador(a): Melo, Jefferson Divino Gonçalves de lattes
Banca de defesa: Melo, Jefferson Divino Gonçalves de, Gonçalves, Max Leandro Nobre, Prudente, Leandro da Fonseca, Pérez, Luis Roman Lucambio, Andreani, Roberto
Tipo de documento: Tese
Tipo de acesso: Acesso aberto
Idioma: eng
Instituição de defesa: Universidade Federal de Goiás
Programa de Pós-Graduação: Programa de Pós-graduação em Matemática (IME)
Departamento: Instituto de Matemática e Estatística - IME (RG)
País: Brasil
Palavras-chave em Português:
Palavras-chave em Inglês:
Área do conhecimento CNPq:
Link de acesso: http://repositorio.bc.ufg.br/tede/handle/tede/9522
Resumo: This thesis proposes and analyzes some variants of the alternating direction method of multipliers (ADMM) for solving separable linearly constrained convex optimization problems. This thesis is divided into three parts. First, we establish the iteration-complexity of a proximal generalized ADMM. This ADMM variant, proposed by Bertsekas and Eckstein, introduces a relaxation parameter into the second ADMM subproblem in order to improve its computational performance. We show that, for a given tolerance ρ>0, the proximal generalized ADMM with α in (0, 2) provides, in at most O(1/ρ^2) iterations, an approximate solution of the Lagrangian system associated to the optimization problem under consideration. It is further demonstrated that, in at most O(1/ρ) iterations, an approximate solution of the Lagrangian system can be obtained by means of an ergodic sequence associated to a sequence generated by the proximal generalized ADMM with α in (0, 2]. Second, we propose and analyze an inexact variant of the aforementioned proximal generalized ADMM. In this variant, the rst subproblem is approximately solved using a relative error condition whereas the second one is assumed to be easy to solve. It is important to mention that in many ADMM applications one of the subproblems has a closed-form solution; for instance, l_1-regularized convex composite optimization problems. We show that the proposed method possesses iteration-complexity bounds similar to its exact version. Third, we develop an inexact proximal ADMM whose rst subproblem is inexactly solved using an approximate relative error criterion similar to the aforementioned inexact proximal generalized ADMM. Pointwise and ergodic iteration-complexity bounds for the proposed method are established. Our approach consists of interpreting these ADMM variants as an instance of a hybrid proximal extragradient framework with some special properties. Finally, in order to show the applicability and advantage of the inexact ADMM variants proposed here, we present some numerical experiments performed on a setting of problems derived from real-life applications.