Distributed Stochastic Optimization via Matrix Exponential Learning

DOI10.1109/TSP.2017.2656847MaRDI QIDQ4620753zbMATH OpenWikidataFDO

Authors Panayotis Mertikopoulos, Elena Veronica Belmega, Romain Negrel, Luca Sanguinetti

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/1606.01190

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Stochastic programming (90C15)

Abstract: In this paper, we investigate a distributed learning scheme for a broad class of stochastic optimization problems and games that arise in signal processing and wireless communications. The proposed algorithm relies on the method of matrix exponential learning (MXL) and only requires locally computable gradient observations that are possibly imperfect and/or obsolete. To analyze it, we introduce the notion of a stable Nash equilibrium and we show that the algorithm is globally convergent to such equilibria - or locally convergent when an equilibrium is only locally stable. We also derive an explicit linear bound for the algorithm's convergence speed, which remains valid under measurement errors and uncertainty of arbitrarily high variance. To validate our theoretical analysis, we test the algorithm in realistic multi-carrier/multiple-antenna wireless scenarios where several users seek to maximize their energy efficiency. Our results show that learning allows users to attain a net increase between 100% and 500% in energy efficiency, even under very high uncertainty.

Recommendations

• Distributed stochastic nonsmooth nonconvex optimization
• Distributed optimization and statistical learning via the alternating direction method of multipliers
• scientific article; zbMATH DE number 7306853
• Exact Diffusion for Distributed Optimization and Learning—Part II: Convergence Analysis
• Random gradient extrapolation for distributed and stochastic optimization
• Exact Diffusion for Distributed Optimization and Learning—Part I: Algorithm Development
• Distributed stochastic subgradient projection algorithms for convex optimization
• scientific article; zbMATH DE number 7650882
• Optimal distributed stochastic mirror descent for strongly convex optimization
• Exact spectral-like gradient method for distributed optimization

Cited in

(8)

• Predictive online optimisation with applications to optical flow
• Derivative-free optimization over multi-user MIMO networks
• On the convergence of gradient-like flows with noisy gradient input
• Exact Diffusion for Distributed Optimization and Learning—Part I: Algorithm Development
• An Online Learning Approach to a Multi-player N-armed Functional Bandit
• Hessian barrier algorithms for linearly constrained optimization problems
• On the convergence of mirror descent beyond stochastic convex programming
• Semidefinite network games: multiplayer minimax and complementarity problems

This page was built for publication: Distributed Stochastic Optimization via Matrix Exponential Learning

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4620753)