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Convergence Rate Analysis for the Alternating Direction Method of Multipliers with a Substitution Procedure for Separable Convex Programming
Mathematics of Operations Research
Recently, in  we have showed the first possibility of combining the Douglas-Rachford alternating direction method of multipliers (ADMM) with a Gaussian back substitution procedure for solving a convex minimization model with a general separable structure. This paper is a further study on theoretical aspects of this theme. We first derive a general algorithmic framework to combine ADMM with either a forward or backward substitution procedure. Then, we show that convergence of this frameworkdoi:10.1287/moor.2016.0822 fatcat:as2gersjdngxbg7xhg4dpa4bcy