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ADMM for monotone operators: convergence analysis and rates

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We propose in this paper a unifying scheme for several algorithms from the literature dedicated to the solving of monotone inclusion problems involving compositions with linear continuous operators in infinite… Click to show full abstract

We propose in this paper a unifying scheme for several algorithms from the literature dedicated to the solving of monotone inclusion problems involving compositions with linear continuous operators in infinite dimensional Hilbert spaces. We show that a number of primal-dual algorithms for monotone inclusions and also the classical ADMM numerical scheme for convex optimization problems, along with some of its variants, can be embedded in this unifying scheme. While in the first part of the paper, convergence results for the iterates are reported, the second part is devoted to the derivation of convergence rates obtained by combining variable metric techniques with strategies based on suitable choice of dynamical step sizes. The numerical performances, which can be obtained for different dynamical step size strategies, are compared in the context of solving an image denoising problem.

Keywords: admm monotone; monotone operators; monotone; convergence analysis; analysis rates; operators convergence

Journal Title: Advances in Computational Mathematics
Year Published: 2019

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