Decentralized Prediction-Correction Methods for Networked Time-Varying Convex Optimization

DOI10.1109/TAC.2017.2694611MaRDI QIDQ4566956zbMATH OpenOpenAlexFDO

Authors Andrea Simonetto, Alec Koppel, Aryan Mokhtari, Alejandro Ribeiro, G. Leus

Publication date 27 June 2018

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

Full work available at URL https://arxiv.org/abs/1602.01716

Mathematics Subject Classification ID

Convex programming (90C25) Semi-infinite programming (90C34)

Abstract: We develop algorithms that find and track the optimal solution trajectory of time-varying convex optimization problems which consist of local and network-related objectives. The algorithms are derived from the prediction-correction methodology, which corresponds to a strategy where the time-varying problem is sampled at discrete time instances and then a sequence is generated via alternatively executing predictions on how the optimizers at the next time sample are changing and corrections on how they actually have changed. Prediction is based on how the optimality conditions evolve in time, while correction is based on a gradient or Newton method, leading to Decentralized Prediction-Correction Gradient (DPC-G) and Decentralized Prediction-Correction Newton (DPC-N). We extend these methods to cases where the knowledge on how the optimization programs are changing in time is only approximate and propose Decentralized Approximate Prediction-Correction Gradient (DAPC-G) and Decentralized Approximate Prediction-Correction Newton (DAPC-N). Convergence properties of all the proposed methods are studied and empirical performance is shown on an application of a resource allocation problem in a wireless network. We observe that the proposed methods outperform existing running algorithms by orders of magnitude. The numerical results showcase a trade-off between convergence accuracy, sampling period, and network communications.

Cited in

(7)

• Prediction-Correction Interior-Point Method for Time-Varying Convex Optimization
• A local-minimization-free zero-gradient-sum algorithm for distributed optimization
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• Distributed second-order multi-agent constrained optimization algorithm with time-varying cost function
• Distributed dual consensus algorithm for time-varying optimization with coupled equality constraint
• Distributed online stochastic gradient tracking
• A predefined-time distributed optimization algorithm for solving time-varying multirobot optimal formation problem

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