Linear convergence of primal-dual gradient methods and their performance in distributed optimization
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Abstract: In this work, we revisit a classical incremental implementation of the primal-descent dual-ascent gradient method used for the solution of equality constrained optimization problems. We provide a short proof that establishes the linear (exponential) convergence of the algorithm for smooth strongly-convex cost functions and study its relation to the non-incremental implementation. We also study the effect of the augmented Lagrangian penalty term on the performance of distributed optimization algorithms for the minimization of aggregate cost functions over multi-agent networks.
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Cited in
(16)- On linear convergence of a distributed dual gradient algorithm for linearly constrained separable convex problems
- Projected primal-dual gradient flow of augmented Lagrangian with application to distributed maximization of the algebraic connectivity of a network
- Iterative pre-conditioning for expediting the distributed gradient-descent method: the case of linear least-squares problem
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- Exponential convergence of distributed primal-dual convex optimization algorithm without strong convexity
- Primal-dual stochastic distributed algorithm for constrained convex optimization
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- Quadratic error bound of the smoothed gap and the restarted averaged primal-dual hybrid gradient
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- Distributed aggregative optimization with affine coupling constraints
- Primal-dual prediction-correction method with tunable memory for linearly constrained time-varying convex optimization
- Convergence properties of a randomized primal-dual algorithm with applications to parallel MRI
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