A Note on the Alternating Direction Method of Multipliers

Abstract

We consider the linearly constrained separable convex programming, whose objective function is separable into m individual convex functions without coupled variables. The alternating direction method of multipliers has been well studied in the literature for the special case m=2, while it remains open whether its convergence can be extended to the general case m ≥3. This note shows the global convergence of this extension when the involved functions are further assumed to be strongly convex. © 2012 Springer Science+Business Media, LLC.