ADMM Fails to Achieve an $O(K^{-1})$ Ergodic KKT Residual Bound

Abstract

The Karush--Kuhn--Tucker (KKT) residual is a fundamental measure of first-order optimality and, under an error bound condition, is comparable to the distance to the KKT solution set up to constant factors. Despite the $O(K^{-1})$ ergodic rates known for objective error and feasibility violations, we show that the KKT residual of classical ADMM cannot, in general, satisfy a uniform $O(K^{-1})$ bound. Specifically, we construct a fixed-dimensional, horizon-dependent family of two-block convex optimization problems for which the KKT residual is $\Omega (K^{-1/2})$ at both the last iterate and the equal-weight ergodic average at the prescribed horizon $K$. Consequently, a uniform $O(K^{-1})$ KKT residual bound is impossible for either output.