Convergence analysis of the direct extension of ADMM for multiple-block separable convex minimization

TL;DR

This paper extends the convergence analysis of the direct extension of ADMM to multiple-block convex minimization problems, proving convergence for general cases with fewer strong convexity assumptions and establishing convergence rates.

Contribution

It generalizes convergence results of e-ADMM from three blocks to m blocks with minimal strong convexity requirements, filling a significant theoretical gap.

Findings

Proves convergence of e-ADMM for m≥3 with (m-2) strongly convex functions.

Establishes worst-case iteration complexity and linear convergence rates.

Shows convergence results are more general than previous specific m=3 cases.

Abstract

Recently, the alternating direction method of multipliers (ADMM) has found many efficient applications in various areas; and it has been shown that the convergence is not guaranteed when it is directly extended to the multiple-block case of separable convex minimization problems where there are $m\ge 3$ functions without coupled variables in the objective. This fact has given great impetus to investigate various conditions on both the model and the algorithm's parameter that can ensure the convergence of the direct extension of ADMM (abbreviated as "e-ADMM"). Despite some results under very strong conditions (e.g., at least $(m-1)$ functions should be strongly convex) that are applicable to the generic case with a general $m$, some others concentrate on the special case of $m=3$ under the relatively milder condition that only one function is assumed to be strongly convex. We focus on extending the convergence analysis from the case of $m=3$ to the more general case of $m\ge3$. That is, we show the convergence of e-ADMM for the case of $m\ge 3$ with the assumption of only $(m-2)$ functions being strongly convex; and establish its convergence rates in different scenarios such as the worst-case convergence rates measured by iteration complexity and the asymptotically linear convergence rate under stronger assumptions. Thus the convergence of e-ADMM for the general case of $m\ge 4$ is proved; this result seems to be still unknown even though it is intuitive given the known result of the case of $m=3$. Even for the special case of $m=3$, our convergence results turn out to be more general than the exiting results that are derived specifically for the case of $m=3$.