Conference item
Convergence rate analysis of a subgradient averaging algorithm for distributed optimisation with different constraint sets
- Abstract:
- We consider a multi-agent setting with agents exchanging information over a network to solve a convex constrained optimisation problem in a distributed manner. We analyse a new algorithm based on local subgradient exchange under undirected time-varying communication. First, we prove asymptotic convergence of the iterates to a minimum of the given optimisation problem for time-varying step-sizes of the form c(k)=ηk+1, for some η > 0. We then restrict attention to step-size choices c(k)=ηk+1√,η>0, and establish a convergence of (ln(k)k√) in objective value. Our algorithm extends currently available distributed subgradient/proximal methods by: (i) accounting for different constraint sets at each node, and (ii) enhancing the convergence speed thanks to a subgradient averaging step performed by the agents. A numerical example demonstrates the efficacy of the proposed algorithm.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
Actions
Access Document
- Files:
-
-
(Preview, Accepted manuscript, pdf, 235.6KB, Terms of use)
-
- Publisher copy:
- 10.1109/CDC40024.2019.9029252
Authors
- Publisher:
- Institute of Electrical and Electronics Engineers
- Host title:
- 2019 IEEE 58th Conference on Decision and Control (CDC)
- Pages:
- 7448 - 7453
- Publication date:
- 2020-03-12
- Acceptance date:
- 2019-07-19
- Event title:
- 2019 IEEE 58th Conference on Decision and Control (CDC)
- Event location:
- Nice, France
- Event website:
- https://cdc2019.ieeecss.org
- Event start date:
- 2019-12-11
- Event end date:
- 2019-12-13
- DOI:
- EISSN:
-
2576-2370
- ISSN:
-
0743-15469
- EISBN:
- 9781728113982
- ISBN:
- 9781728113999
- Language:
-
English
- Keywords:
- Pubs id:
-
pubs:1046519
- UUID:
-
uuid:d20cd528-1d55-45ec-81ad-3b6b5b4102ad
- Local pid:
-
pubs:1046519
- Source identifiers:
-
1046519
- Deposit date:
-
2019-08-20
Terms of use
- Copyright holder:
- Institute of Electrical and Electronics Engineers
- Copyright date:
- 2020
- Rights statement:
- © IEEE.
- Notes:
- This conference paper was presented at the 58th IEEE Conference on Decision and Control, Nice, France, December 11-13 2019. This is the accepted manuscript version of the paper. The final version is available online from the Institute of Electrical and Electronics Engineers at: https://doi.org/10.1109/CDC40024.2019.9029252
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