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Abstract
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We consider applying the Douglas-Rachford splitting method (DRSM) to the minimization problem with linear constraints and a separable objective function. The dual application of DRSM has been well studied in the literature, resulting in the well known alternating direction method of multi-pliers (ADMM). In this talk, we show that the primal application of DRSM in combination with an appropriate decomposition can yield an efficient structure-exploiting algorithm for the model under consideration, whose subproblems could be easier than those of ADMM. We present its efficient application to Dantzig Selector and compare it with some other splitting-type methods. Extensions to the multi-block problems are discussed.
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