Linear Convergence of ADMM on a Model Problem

Date of Submission: 
March 26, 2012
Report Number: 
12-009
Report PDF: 
Abstract: 
In this short report, we analyze the convergence of ADMM as a matrix recurrence for the particular case of a quadratic program or a linear program. We identify a particular combination of the vector iterates in the standard ADMM iteration that exhibits monotonic convergence. We present an analysis which indicates the convergence depends on the eigenvalues of a particular matrix operator. The theory predicts that ADMM should exhibit linear convergence when close enough to the optimal solution, but when far away can exhibit slow "constant step" convergence. This is illustrated with a convergence trace from linear program.