Convergence Analysis of Consensus-ADMM for General QCQP
Signal Processing
2024-10-28 v3
Abstract
We analyze the convergence properties of the consensus-alternating direction method of multipliers (ADMM) for solving general quadratically constrained quadratic programs. We prove that the augmented Lagrangian function value is monotonically non-increasing as long as the augmented Lagrangian parameter is chosen to be sufficiently large. Simulation results show that the augmented Lagrangian function is bounded from below when the matrix in the quadratic term of the objective function is positive definite. In such a case, the consensus-ADMM is convergent.
Keywords
Cite
@article{arxiv.2205.14884,
title = {Convergence Analysis of Consensus-ADMM for General QCQP},
author = {Huiping Huang and Hing Cheung So and Abdelhak M. Zoubir},
journal= {arXiv preprint arXiv:2205.14884},
year = {2024}
}
Comments
5 figures. This work has been accepted for publication in Signal Processing (Elsevier)