An inertial alternating direction method of multipliers for solving a two-block separable convex minimization problem

Abstract: The alternating direction method of multipliers (ADMM) is a widely used method for solving many convex minimization models arising in signal and image processing. In this paper, we propose an inertial ADMM for solving a two-block separable convex minimization problem with linear equality constraints. This algorithm is obtained by making use of the inertial Douglas-Rachford splitting algorithm to the corresponding dual of the primal problem. We study the convergence analysis of the proposed algorithm in infinite-dimensional Hilbert spaces. Furthermore, we apply the proposed algorithm on the robust principal component pursuit problem and also compare it with other state-of-the-art algorithms. Numerical results demonstrate the advantage of the proposed algorithm.