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Volume 41, Issue 6
An Indefinite-Proximal-Based Strictly Contractive Peaceman-Rachford Splitting Method

Yan Gu, Bo Jiang & Deren Han

J. Comp. Math., 41 (2023), pp. 1017-1040.

Published online: 2023-11

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  • Abstract

The Peaceman-Rachford splitting method is efficient for minimizing a convex optimization problem with a separable objective function and linear constraints. However, its convergence was not guaranteed without extra requirements. He et al. (SIAM J. Optim. 24: 1011-1040, 2014) proved the convergence of a strictly contractive Peaceman-Rachford splitting method by employing a suitable underdetermined relaxation factor. In this paper, we further extend the so-called strictly contractive Peaceman-Rachford splitting method by using two different relaxation factors. Besides, motivated by the recent advances on the ADMM type method with indefinite proximal terms, we employ the indefinite proximal term in the strictly contractive Peaceman-Rachford splitting method. We show that the proposed indefinite-proximal strictly contractive Peaceman-Rachford splitting method is convergent and also prove the $o(1/t)$ convergence rate in the nonergodic sense. The numerical tests on the $l_1$ regularized least square problem demonstrate the efficiency of the proposed method.

  • AMS Subject Headings

90C25, 90C30, 65K05

  • Copyright

COPYRIGHT: © Global Science Press

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@Article{JCM-41-1017, author = {Gu , YanJiang , Bo and Han , Deren}, title = {An Indefinite-Proximal-Based Strictly Contractive Peaceman-Rachford Splitting Method}, journal = {Journal of Computational Mathematics}, year = {2023}, volume = {41}, number = {6}, pages = {1017--1040}, abstract = {

The Peaceman-Rachford splitting method is efficient for minimizing a convex optimization problem with a separable objective function and linear constraints. However, its convergence was not guaranteed without extra requirements. He et al. (SIAM J. Optim. 24: 1011-1040, 2014) proved the convergence of a strictly contractive Peaceman-Rachford splitting method by employing a suitable underdetermined relaxation factor. In this paper, we further extend the so-called strictly contractive Peaceman-Rachford splitting method by using two different relaxation factors. Besides, motivated by the recent advances on the ADMM type method with indefinite proximal terms, we employ the indefinite proximal term in the strictly contractive Peaceman-Rachford splitting method. We show that the proposed indefinite-proximal strictly contractive Peaceman-Rachford splitting method is convergent and also prove the $o(1/t)$ convergence rate in the nonergodic sense. The numerical tests on the $l_1$ regularized least square problem demonstrate the efficiency of the proposed method.

}, issn = {1991-7139}, doi = {https://doi.org/10.4208/jcm.2112-m2020-0023}, url = {http://global-sci.org/intro/article_detail/jcm/22102.html} }
TY - JOUR T1 - An Indefinite-Proximal-Based Strictly Contractive Peaceman-Rachford Splitting Method AU - Gu , Yan AU - Jiang , Bo AU - Han , Deren JO - Journal of Computational Mathematics VL - 6 SP - 1017 EP - 1040 PY - 2023 DA - 2023/11 SN - 41 DO - http://doi.org/10.4208/jcm.2112-m2020-0023 UR - https://global-sci.org/intro/article_detail/jcm/22102.html KW - Indefinite proximal, Strictly contractive, Peaceman-Rachford splitting method, Convex minimization, Convergence rate. AB -

The Peaceman-Rachford splitting method is efficient for minimizing a convex optimization problem with a separable objective function and linear constraints. However, its convergence was not guaranteed without extra requirements. He et al. (SIAM J. Optim. 24: 1011-1040, 2014) proved the convergence of a strictly contractive Peaceman-Rachford splitting method by employing a suitable underdetermined relaxation factor. In this paper, we further extend the so-called strictly contractive Peaceman-Rachford splitting method by using two different relaxation factors. Besides, motivated by the recent advances on the ADMM type method with indefinite proximal terms, we employ the indefinite proximal term in the strictly contractive Peaceman-Rachford splitting method. We show that the proposed indefinite-proximal strictly contractive Peaceman-Rachford splitting method is convergent and also prove the $o(1/t)$ convergence rate in the nonergodic sense. The numerical tests on the $l_1$ regularized least square problem demonstrate the efficiency of the proposed method.

Yan Gu, Bo Jiang & Deren Han. (2023). An Indefinite-Proximal-Based Strictly Contractive Peaceman-Rachford Splitting Method. Journal of Computational Mathematics. 41 (6). 1017-1040. doi:10.4208/jcm.2112-m2020-0023
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