Primal-Dual Algorithm for Distributed Optimization with Coupled Constraints
This paper focuses on distributed consensus optimization problems with coupled constraints over time-varying multi-agent networks, where the global objective is the finite sum of all agents’ private local objective functions, and decision variables of agents are subject to coupled equality and inequ...
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| Published in | Journal of optimization theory and applications Vol. 201; no. 1; pp. 252 - 279 |
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| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
New York
Springer US
01.04.2024
Springer Nature B.V |
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| Online Access | Get full text |
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| Abstract | This paper focuses on distributed consensus optimization problems with coupled constraints over time-varying multi-agent networks, where the global objective is the finite sum of all agents’ private local objective functions, and decision variables of agents are subject to coupled equality and inequality constraints and a compact convex subset. Each agent exchanges information with its neighbors and processes local data. They cooperate to agree on a consensual decision vector that is an optimal solution to the considered optimization problems. We integrate ideas behind dynamic average consensus and primal-dual methods to develop a distributed algorithm and establish its sublinear convergence rate. In numerical simulations, to illustrate the effectiveness of the proposed algorithm, we compare it with some related methods by the Neyman–Pearson classification problem. |
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| AbstractList | This paper focuses on distributed consensus optimization problems with coupled constraints over time-varying multi-agent networks, where the global objective is the finite sum of all agents’ private local objective functions, and decision variables of agents are subject to coupled equality and inequality constraints and a compact convex subset. Each agent exchanges information with its neighbors and processes local data. They cooperate to agree on a consensual decision vector that is an optimal solution to the considered optimization problems. We integrate ideas behind dynamic average consensus and primal-dual methods to develop a distributed algorithm and establish its sublinear convergence rate. In numerical simulations, to illustrate the effectiveness of the proposed algorithm, we compare it with some related methods by the Neyman–Pearson classification problem. |
| Author | Zhang, Liwei Gong, Kai |
| Author_xml | – sequence: 1 givenname: Kai orcidid: 0000-0003-4982-6957 surname: Gong fullname: Gong, Kai email: gk1995___@mail.dlut.edu.cn organization: School of Mathematical Sciences, Dalian University of Technology – sequence: 2 givenname: Liwei surname: Zhang fullname: Zhang, Liwei organization: School of Mathematical Sciences, Dalian University of Technology |
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| ContentType | Journal Article |
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| DOI | 10.1007/s10957-024-02393-7 |
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| Keywords | Distributed optimization Time-varying networks Coupled constraints Convergence |
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| SubjectTerms | Algorithms Applications of Mathematics Approximation Calculus of Variations and Optimal Control; Optimization Constraints Convergence Decomposition Engineering Machine learning Mathematics Mathematics and Statistics Methods Multiagent systems Operations Research/Decision Theory Optimization Theory of Computation Variables |
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| Title | Primal-Dual Algorithm for Distributed Optimization with Coupled Constraints |
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