Convergence of a Class of Stationary Iterative Methods for Saddle Point Problems
A unified convergence result is derived for an entire class of stationary iterative methods for solving equality constrained quadratic programs or saddle point problems. This class is constructed from essentially all possible splittings of the n x n submatrix residing in the (1,1)-block of the (n+m)x(n+m) augmented matrix that would generate non-expansive iterations in R^n. The classic multiplier method and augmented Lagrangian alternating direction method are two special members of this class.
Citable link to this pagehttps://hdl.handle.net/1911/102165
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