Multiblock ADMM for nonsmooth nonconvex optimization with nonlinear coupling constraints

2022/01/19 by Hien, Le Thi Khanh, Papadimitriou, Dimitri · 1 citation
#FOS: Computer and information sciences #FOS: Mathematics #Machine Learning (cs.LG) #Optimization and Control (math.OC)

paper · doi:10.48550/arxiv.2201.07657

Abstract

This paper proposes a multiblock alternating direction method of multipliers for solving a class of multiblock nonsmooth nonconvex optimization problem with nonlinear coupling constraints. We employ a majorization minimization procedure in the update of each block of the primal variables. Subsequential and global convergence of the generated sequence to a critical point of the augmented Lagrangian are proved. We also establish iteration complexity and provide preliminary numerical results for the proposed algorithm.

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