A Proximal Dual Consensus ADMM Method for Multi-Agent Constrained Optimization

DOI10.1109/TSP.2016.2544743MaRDI QIDQ4622058zbMATH OpenOpenAlexFDO

Authors Tsung-Hui Chang

Publication date 8 February 2019

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1409.3307

Mathematics Subject Classification ID

Decentralized systems (93A14) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: This paper studies efficient distributed optimization methods for multi-agent networks. Specifically, we consider a convex optimization problem with a globally coupled linear equality constraint and local polyhedra constraints, and develop distributed optimization methods based on the alternating direction method of multipliers (ADMM). The considered problem has many applications in machine learning and smart grid control problems. Due to the presence of the polyhedra constraints, agents in the existing methods have to deal with polyhedra constrained subproblems at each iteration. One of the key issues is that projection onto a polyhedra constraint is not trivial, which prohibits from closed-form solutions or the use of simple algorithms for solving these subproblems. In this paper, by judiciously integrating the proximal minimization method with ADMM, we propose a new distributed optimization method where the polyhedra constraints are handled softly as penalty terms in the subproblems. This makes the subproblems efficiently solvable and consequently reduces the overall computation time. Furthermore, we propose a randomized counterpart that is robust against randomly ON/OFF agents and imperfect communication links. We analytically show that both the proposed methods have a worst-case $mathcalO(1/k)$ convergence rate, where $k$ is the iteration number. Numerical results show that the proposed methods offer considerably lower computation time than the existing distributed ADMM method.

Cited in

(21)

• Distributed convex optimization with coupling constraints over time-varying directed graphs
• A solution strategy for distributed uncertain economic dispatch problems via scenario theory
• Tracking-ADMM for distributed constraint-coupled optimization
• A fully distributed ADMM-based dispatch approach for virtual power plant problems
• Distributed nonconvex constrained optimization over time-varying digraphs
• A distributed methodology for approximate uniform global minimum sharing
• A distributed ADMM-like method for resource sharing over time-varying networks
• Supervised model predictive control of large‐scale electricity networks via clustering methods
• Augmented Lagrangian tracking for distributed optimization with equality and inequality coupling constraints
• Composite optimization with coupling constraints via dual proximal gradient method with applications to asynchronous networks
• Distributed safe resource allocation using barrier functions
• Distributed delay-tolerant strategies for equality-constraint sum-preserving resource allocation
• Distributed optimization under edge agreements: a continuous-time algorithm
• Decentralized optimization with affine constraints over time-varying networks
• Linear convergence of distributed estimation with constraints and communication delays
• A review of decentralized optimization focused on information flows of decomposition algorithms
• Distributed convex optimization based on ADMM and belief propagation methods
• Distributed prediction-correction algorithm for convex optimization with coupled constraints
• Relaxed hybrid consensus ADMM for distributed convex optimisation with coupling constraints
• Distributed aggregative optimization with affine coupling constraints
• Dual smoothing for decentralized optimization

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