A New Alternating Direction Method for Linear Programming

It is well known that, for a linear program (LP) with constraint matrix $\mathbf{A}\in\mathbb{R}^{m\times n}$, the Alternating Direction Method of Multiplier converges globally and linearly at a rate $O((\|\mathbf{A}\|_F^2+mn)\log(1/\epsilon))$. However, such a rate is related to the problem dimension and the algorithm exhibits a slow and fluctuating ``tail convergence'' in practice. In this paper, we propose a new variable splitting method of LP and prove that our method has a convergence rate of $O(\|\mathbf{A}\|^2\log(1/\epsilon))$. The proof is based on simultaneously estimating the distance from a pair of primal dual iterates to the optimal primal and dual solution set by certain residuals. In practice, we result in a new first-order LP solver that can exploit both the sparsity and the specific structure of matrix $\mathbf{A}$ and a significant speedup for important problems such as basis pursuit, inverse covariance matrix estimation, L1 SVM and nonnegative matrix factorization problem compared with current fastest LP solvers.