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On the O(1/n) convergence rate of the Douglas-Rachford alternating direction method. (English) Zbl 1245.90084
Summary: Alternating direction methods (ADMs) have been well studied in the literature, and they have found many efficient applications in various fields. In this note, we focus on the Douglas–Rachford ADM scheme proposed by Glowinski and Marrocco, and we aim at providing a simple approach to estimating its convergence rate in terms of the iteration number. The linearized version of this ADM scheme, which is known as the split inexact Uzawa method in the image processing literature, is also discussed.
MSC:
90C25Convex programming
65K05Mathematical programming (numerical methods)