Preconditioned ADMM for a Class of Bilinear Programming Problems
We design a novel preconditioned alternating direction method for solving a class of bilinear programming problems, where each subproblem is solved by adding a positive-definite regularization term with a proximal parameter. By the aid of the variational inequality, the global convergence of the pro...
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| Veröffentlicht in: | Mathematical problems in engineering 2018-01, Vol.2018 (2018), p.1-9 |
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| container_title | Mathematical problems in engineering |
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| creator | Liang, Xiaobo Bai, Jianchao |
| description | We design a novel preconditioned alternating direction method for solving a class of bilinear programming problems, where each subproblem is solved by adding a positive-definite regularization term with a proximal parameter. By the aid of the variational inequality, the global convergence of the proposed method is analyzed and a worst-case O(1/t) convergence rate in an ergodic sense is established. Several preliminary numerical examples, including the Markowitz portfolio optimization problem, are also tested to verify the performance of the proposed method. |
| doi_str_mv | 10.1155/2018/5694201 |
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| ispartof | Mathematical problems in engineering, 2018-01, Vol.2018 (2018), p.1-9 |
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| source | EZB-FREE-00999 freely available EZB journals; Wiley Online Library (Open Access Collection); Alma/SFX Local Collection |
| subjects | Algorithms Applied mathematics Computational mathematics Convergence Linear programming Mathematical problems Mathematical programming Methods Regularization |
| title | Preconditioned ADMM for a Class of Bilinear Programming Problems |
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