Douglas-Rachford splitting and ADMM for nonconvex optimization: Accelerated and Newton-type algorithms

20 May 2020 Andreas Themelis Lorenzo Stella Panagiotis Patrinos

Although the performance of popular optimization algorithms such as the Douglas-Rachford splitting (DRS) and ADMM is satisfactory in small and well-scaled problems, ill conditioning and problem size pose a severe obstacle to their reliable employment. Expanding on recent convergence results for DRS and ADMM applied to nonconvex problems, we propose two linesearch algorithms to enhance and robustify these methods by means of quasi-Newton directions... (read more)

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  • 90C06, 90C25, 90C26, 49J52, 49J53