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Inexact accelerated augmented Lagrangian methods

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  • Myeongmin Kang
  • Myungjoo Kang
  • Miyoun Jung

Abstract

The augmented Lagrangian method (ALM) is a popular method for solving linearly constrained convex minimization problems, and it has been used in many applications such as compressive sensing or image processing. Recently, accelerated versions of the augmented Lagrangian method (AALM) have been developed, and they assume that the subproblem can be exactly solved. However, the subproblem of the augmented Lagrangian method in general does not have a closed-form solution. In this paper, we introduce an inexact version of an accelerated augmented Lagrangian method (I-AALM), with an implementable inexact stopping condition for the subproblem. It is also proved that the convergence rate of our method remains the same as the accelerated ALM, which is $${{\mathcal {O}}}(\frac{1}{k^2})$$ O ( 1 k 2 ) with an iteration number $$k$$ k . In a similar manner, we propose an inexact accelerated alternating direction method of multiplier (I-AADMM), which is an inexact version of an accelerated ADMM. Numerical applications to compressive sensing or image inpainting are also presented to validate the effectiveness of the proposed iterative algorithms. Copyright Springer Science+Business Media New York 2015

Suggested Citation

  • Myeongmin Kang & Myungjoo Kang & Miyoun Jung, 2015. "Inexact accelerated augmented Lagrangian methods," Computational Optimization and Applications, Springer, vol. 62(2), pages 373-404, November.
    • Handle: RePEc:spr:coopap:v:62:y:2015:i:2:p:373-404
    DOI: 10.1007/s10589-015-9742-8
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    References listed on IDEAS

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    1. NESTEROV, Yu., 2007. "Gradient methods for minimizing composite objective function," LIDAM Discussion Papers CORE 2007076, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Bingsheng He & Xiaoming Yuan, 2012. "An Accelerated Inexact Proximal Point Algorithm for Convex Minimization," Journal of Optimization Theory and Applications, Springer, vol. 154(2), pages 536-548, August.
    3. R. T. Rockafellar, 1976. "Augmented Lagrangians and Applications of the Proximal Point Algorithm in Convex Programming," Mathematics of Operations Research, INFORMS, vol. 1(2), pages 97-116, May.
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