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A partial Bregman ADMM with a general relaxation factor for structured nonconvex and nonsmooth optimization

Author

Listed:
  • Jianghua Yin

    (Guangxi Minzu University)

  • Chunming Tang

    (Guangxi University)

  • Jinbao Jian

    (Guangxi Minzu University)

  • Qiongxuan Huang

    (Guangxi Minzu University)

Abstract

In this paper, a partial Bregman alternating direction method of multipliers (ADMM) with a general relaxation factor $$\alpha \in (0,\frac{1+\sqrt{5}}{2})$$ α ∈ ( 0 , 1 + 5 2 ) is proposed for structured nonconvex and nonsmooth optimization, where the objective function is the sum of a nonsmooth convex function and a smooth nonconvex function without coupled variables. We add a Bregman distance to alleviate the difficulty of solving the nonsmooth subproblem. For the smooth subproblem, we directly perform a gradient descent step of the augmented Lagrangian function, which makes the computational cost of each iteration of our method very cheap. To our knowledge, the nonconvex ADMM with a relaxation factor $$\alpha \ne 1$$ α ≠ 1 in the literature has never been studied for the problem under consideration. Under some mild conditions, the boundedness of the generated sequence, the global convergence and the iteration complexity are established. The numerical results verify the efficiency and robustness of the proposed method.

Suggested Citation

  • Jianghua Yin & Chunming Tang & Jinbao Jian & Qiongxuan Huang, 2024. "A partial Bregman ADMM with a general relaxation factor for structured nonconvex and nonsmooth optimization," Journal of Global Optimization, Springer, vol. 89(4), pages 899-926, August.
  • Handle: RePEc:spr:jglopt:v:89:y:2024:i:4:d:10.1007_s10898-024-01384-2
    DOI: 10.1007/s10898-024-01384-2
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    References listed on IDEAS

    as
    1. Brendan P. W. Ames & Mingyi Hong, 2016. "Alternating direction method of multipliers for penalized zero-variance discriminant analysis," Computational Optimization and Applications, Springer, vol. 64(3), pages 725-754, July.
    2. Zehui Jia & Xue Gao & Xingju Cai & Deren Han, 2021. "Local Linear Convergence of the Alternating Direction Method of Multipliers for Nonconvex Separable Optimization Problems," Journal of Optimization Theory and Applications, Springer, vol. 188(1), pages 1-25, January.
    3. Maryam Yashtini, 2022. "Convergence and rate analysis of a proximal linearized ADMM for nonconvex nonsmooth optimization," Journal of Global Optimization, Springer, vol. 84(4), pages 913-939, December.
    4. Andreas Themelis & Lorenzo Stella & Panagiotis Patrinos, 2022. "Douglas–Rachford splitting and ADMM for nonconvex optimization: accelerated and Newton-type linesearch algorithms," Computational Optimization and Applications, Springer, vol. 82(2), pages 395-440, June.
    5. Zhongming Wu & Min Li & David Z. W. Wang & Deren Han, 2017. "A Symmetric Alternating Direction Method of Multipliers for Separable Nonconvex Minimization Problems," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 34(06), pages 1-27, December.
    6. Bo Jiang & Tianyi Lin & Shiqian Ma & Shuzhong Zhang, 2019. "Structured nonconvex and nonsmooth optimization: algorithms and iteration complexity analysis," Computational Optimization and Applications, Springer, vol. 72(1), pages 115-157, January.
    7. Jonathan Eckstein & Michael C. Ferris, 1998. "Operator-Splitting Methods for Monotone Affine Variational Inequalities, with a Parallel Application to Optimal Control," INFORMS Journal on Computing, INFORMS, vol. 10(2), pages 218-235, May.
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