Alternating Direction Method with Gaussian Back Substitution for Separable Convex Programming

We consider the linearly constrained separable convex programming whose objective function is separable into m individual convex functions without crossed variables. The alternating direction method (ADM) has been well studied in the literature for the special case m=2. But the convergence of extending ADM to the general case m>=3 is still open. In this paper, … Read more