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Relative-error inertial-relaxed inexact versions of Douglas-Rachford and ADMM splitting algorithms

Author

Listed:
  • M. Marques Alves

    (Universidade Federal de Santa Catarina)

  • Jonathan Eckstein

    (Rutgers Business School Newark and New Brunswick)

  • Marina Geremia

    (Universidade Federal de Santa Catarina)

  • Jefferson G. Melo

    (Universidade Federal de Goiás)

Abstract

This paper derives new inexact variants of the Douglas-Rachford splitting method for maximal monotone operators and the alternating direction method of multipliers (ADMM) for convex optimization. The analysis is based on a new inexact version of the proximal point algorithm that includes both an inertial step and overrelaxation. We apply our new inexact ADMM method to LASSO and logistic regression problems and obtain somewhat better computational performance than earlier inexact ADMM methods.

Suggested Citation

  • M. Marques Alves & Jonathan Eckstein & Marina Geremia & Jefferson G. Melo, 2020. "Relative-error inertial-relaxed inexact versions of Douglas-Rachford and ADMM splitting algorithms," Computational Optimization and Applications, Springer, vol. 75(2), pages 389-422, March.
    • Handle: RePEc:spr:coopap:v:75:y:2020:i:2:d:10.1007_s10589-019-00165-y
    DOI: 10.1007/s10589-019-00165-y
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    References listed on IDEAS

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    1. Boţ, Radu Ioan & Csetnek, Ernö Robert & Hendrich, Christopher, 2015. "Inertial Douglas–Rachford splitting for monotone inclusion problems," Applied Mathematics and Computation, Elsevier, vol. 256(C), pages 472-487.
    2. Hedy Attouch & Alexandre Cabot, 2020. "Convergence rate of a relaxed inertial proximal algorithm for convex minimization," Post-Print hal-02415789, HAL.
    3. Dettling, Marcel & Bühlmann, Peter, 2004. "Finding predictive gene groups from microarray data," Journal of Multivariate Analysis, Elsevier, vol. 90(1), pages 106-131, July.
    4. Jonathan Eckstein & Wang Yao, 2017. "Approximate ADMM algorithms derived from Lagrangian splitting," Computational Optimization and Applications, Springer, vol. 68(2), pages 363-405, November.
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    Cited by:

    1. Mauricio Romero Sicre, 2020. "On the complexity of a hybrid proximal extragradient projective method for solving monotone inclusion problems," Computational Optimization and Applications, Springer, vol. 76(3), pages 991-1019, July.
    2. Xiaoqi Yang & Chenchen Zu, 2022. "Convergence of Inexact Quasisubgradient Methods with Extrapolation," Journal of Optimization Theory and Applications, Springer, vol. 193(1), pages 676-703, June.
    3. Majela Pentón Machado & Mauricio Romero Sicre, 2023. "A Projective Splitting Method for Monotone Inclusions: Iteration-Complexity and Application to Composite Optimization," Journal of Optimization Theory and Applications, Springer, vol. 198(2), pages 552-587, August.
    4. Yunier Bello-Cruz & Max L. N. Gonçalves & Nathan Krislock, 2023. "On FISTA with a relative error rule," Computational Optimization and Applications, Springer, vol. 84(2), pages 295-318, March.
    5. Jamilu Abubakar & Poom Kumam & Abdulkarim Hassan Ibrahim & Anantachai Padcharoen, 2020. "Relaxed Inertial Tseng’s Type Method for Solving the Inclusion Problem with Application to Image Restoration," Mathematics, MDPI, vol. 8(5), pages 1-19, May.
    6. S.-M. Grad & F. Lara & R. T. Marcavillaca, 2023. "Relaxed-inertial proximal point type algorithms for quasiconvex minimization," Journal of Global Optimization, Springer, vol. 85(3), pages 615-635, March.

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