A Unifying Approximate Method of Multipliers for Distributed Composite Optimization

DOI10.1109/TAC.2022.3173171MaRDI QIDQ6053253zbMATH OpenOpenAlexFDO

Authors Xuyang Wu, Jie Lü

Publication date 26 September 2023

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2009.12732

zbMATH Keywords

convex composite optimizationdistributed optimizationmethod of multipliers

Mathematics Subject Classification ID

Systems theory; control (93-XX)

Abstract: This paper investigates solving convex composite optimization on an undirected network, where each node, privately endowed with a smooth component function and a nonsmooth one, is required to minimize the sum of all the component functions throughout the network. To address such a problem, a general Approximate Method of Multipliers (AMM) is developed, which attempts to approximate the Method of Multipliers by virtue of a surrogate function with numerous options. We then design the possibly nonseparable, time-varying surrogate function in various ways, leading to different distributed realizations of AMM. We demonstrate that AMM generalizes more than ten state-of-the-art distributed optimization algorithms, and certain specific designs of its surrogate function result in a variety of new algorithms to the literature. Furthermore, we show that AMM is able to achieve an $O(1/k)$ rate of convergence to optimality, and the convergence rate becomes linear when the problem is locally restricted strongly convex and smooth. Such convergence rates provide new or stronger convergence results to many prior methods that can be viewed as specializations of AMM.

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• Decentralized multi-authority attribute-based inner-product FE: large universe and unbounded

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