Distributed Online Optimization for Multi-Agent Optimal Transport

Authors Vishaal Krishnan, Sonia Martínez

Publication date 4 April 2018

Stability in context of PDEs (35B35) Asymptotic behavior of solutions to PDEs (35B40) Optimality conditions for problems involving partial differential equations (49K20) Hamilton-Jacobi theories (49L99) Discrete approximations in optimal control (49M25) Duality theory (optimization) (49N15) Optimality conditions and duality in mathematical programming (90C46) Large-scale systems (93A15) Control/observation systems governed by partial differential equations (93C20) Lyapunov and other classical stabilities (Lagrange, Poisson, (L^p, l^p), etc.) in control theory (93D05) Asymptotic stability in control theory (93D20)

Abstract: We propose a scalable, distributed algorithm for the optimal transport of large-scale multi-agent systems. We formulate the problem as one of steering the collective towards a target probability measure while minimizing the total cost of transport, with the additional constraint of distributed implementation. Using optimal transport theory, we realize the solution as an iterative transport based on a proximal descent scheme. At each stage of the transport, the agents implement an online, distributed primal-dual algorithm to obtain local estimates of the Kantorovich potential for optimal transport from the current distribution of the collective to the target distribution. Using these estimates as their local objective functions, the agents then implement the transport by proximal descent. This two-step process is carried out recursively by the agents to converge asymptotically to the target distribution. We rigorously establish the underlying theoretical framework for the algorithm and test its behavior via numerical experiments.

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