Dynamic Regret of Distributed Online Frank-Wolfe Convex Optimization

MaRDI QIDQ6425125zbMATH OpenFDO

Authors Wentao Zhang, Yang Shi, Baoyong Zhang, Deming Yuan

Publication date 1 February 2023

Abstract: This paper considers distributed online convex constrained optimization, in which various agents in a multi-agent system cooperate to minimize a global cost function through communicating with neighbors over a time-varying network. When the constraint set of optimization problem is high-dimensional and complicated, the computational cost of the projection operation often becomes prohibitive. To handle this problem, we develop a distributed online Frank-Wolfe optimization algorithm combining with gradient tracking technique. We rigorously establish the dynamic regret bound of the proposed optimization algorithm as $mathcalO(sqrtT(1+H_T)+D_T)$, which explicitly depends on the iteration round $T$, function variation $H_T$, and gradient variation $D_T$. Finally, the theoretical results are verified and compared in the case of distributed online ridge regression problems.

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