Local Linear Convergence of the Alternating Direction Method of Multipliers for Semidefinite Programming under Strict Complementarity
We investigate the local linear convergence properties of the Alternating Direction Method of Multipliers (ADMM) when applied to Semidefinite Programming (SDP). A longstanding belief suggests that ADMM is only capable of solving SDPs to moderate accuracy, primarily due to its sublinear worst-case complexity and empirical observations of slow convergence. We challenge this notion by introducing … Read more