An Optimal ADMM for Unilateral Obstacle Problems

Abstract

We propose a new alternating direction method of multipliers (ADMM) with an optimal parameter for the unilateral obstacle problem. We first use the five-point difference scheme to discretize the problem. Then, we present an augmented Lagrangian by introducing an auxiliary unknown, and an ADMM is applied to the corresponding saddle-point problem. Through eliminating the primal and auxiliary unknowns, a pure dual algorithm is then used. The convergence of the proposed method is analyzed, and a simple strategy is presented for selecting the optimal parameter, with the largest and smallest eigenvalues of the iterative matrix. Several numerical experiments confirm the theoretical findings of this study.

Keywords

• unilateral obstacle problem
• finite difference
• ADMM
• augmented Lagrangian