Decentralized Multi-Agent Optimization Based on a Penalty Method

DOI10.1080/02331934.2021.1950151MaRDI QIDQ6346806arXivFDO

Authors Igor V. Konnov

Publication date 10 August 2020

Published in arXiv

Full work available at URL https://doi.org/10.1080/02331934.2021.1950151

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Distributed algorithms (68W15) Large-scale problems in mathematical programming (90C06) Convex programming (90C25) Decentralized systems (93A14)

arXiv classification

math.OC

Abstract: We propose a decentralized penalty method for general convex constrained multi-agent optimization problems. Each auxiliary penalized problem is solved approximately with a special parallel descent splitting method. The method can be implemented in a computational network where each agent sends information only to the nearest neighbours. Convergence of the method is established under rather weak assumptions. We also describe a specialization of the proposed approach to the feasibility problem.

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