Convergence of multi-block Bregman ADMM for nonconvex composite problems

The alternating direction method with multipliers (ADMM) is one of the most powerful and successful methods for solving various composite problems. The convergence of the conventional ADMM (i.e., 2-block) for convex objective functions has been stated for a long time, and its convergence for nonconvex objective functions has, however, been established very recently. The multi-block ADMM, a natural extension of ADMM, is a widely used scheme and has also been found very useful in solving various nonconvex optimization problems. It is thus expected to establish the convergence of the multi-block ADMM under nonconvex frameworks. In this paper, we first justify the convergence of 3-block Bregman ADMM. We next extend these results to the N-block case (N ≥ 3), which underlines the feasibility of multi-block ADMM applications in nonconvex settings. Finally, we present a simulation study and a real-world application to support the correctness of the obtained theoretical assertions.