Regularized Primal-Dual Subgradient Method for Distributed Constrained Optimization

• Published in: IEEE transactions on cybernetics Vol. 46; no. 9; pp. 2109 - 2118
• Main Authors: Deming Yuan, Ho, Daniel W. C., Shengyuan Xu
• Format: Journal Article
• Language: English
• Published: United States IEEE 01.09.2016; The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
• Subjects: Average consensus; constrained optimization; Convergence; Convex functions; Cost function; Cybernetics; distributed optimization; Lagrangian functions; Linear programming; primal–dual subgradient method
• ISSN: 2168-2267; 2168-2275
• DOI: 10.1109/TCYB.2015.2464255

In this paper, we study the distributed constrained optimization problem where the objective function is the sum of local convex cost functions of distributed nodes in a network, subject to a global inequality constraint. To solve this problem, we propose a consensus-based distributed regularized primal-dual subgradient method. In contrast to the existing methods, most of which require projecting the estimates onto the constraint set at every iteration, only one projection at the last iteration is needed for our proposed method. We establish the convergence of the method by showing that it achieves an O(K -1/4 ) convergence rate for general distributed constrained optimization, where K is the iteration counter. Finally, a numerical example is provided to validate the convergence of the propose method.