Primal-dual -subgradient method for distributed optimization
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Primal-dual \(\varepsilon\)-subgradient method for distributed optimization
Abstract: This paper studies the distributed optimization problem when the objective functions might be nondifferentiable and subject to heterogeneous set constraints. Unlike existing subgradient methods, we focus on the case when the exact subgradients of the local objective functions can not be accessed by the agents. To solve this problem, we propose a projected primal-dual dynamics using only the objective function's approximate subgradients. We first prove that the formulated optimization problem can generally be solved with an error depending upon the accuracy of the available subgradients. Then, we show the exact solvability of this distributed optimization problem when the accumulated approximation error of inexact subgradients is not too large. After that, we also give a novel componentwise normalized variant to improve the transient behavior of the convergent sequence. The effectiveness of our algorithms is verified by a numerical example.
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Cites work
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- scientific article; zbMATH DE number 4015993 (Why is no real title available?)
- Inexact proximal \(\epsilon\)-subgradient methods for composite convex optimization problems
- Interior Gradient and Epsilon-Subgradient Descent Methods for Constrained Convex Minimization
- Linear Convergence Rate of a Class of Distributed Augmented Lagrangian Algorithms
- On the projected subgradient method for nonsmooth convex optimization in a Hilbert space
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Cited in
(11)- Primal-dual stochastic distributed algorithm for constrained convex optimization
- A class of randomized primal-dual algorithms for distributed optimization
- A Coordinate Descent Primal-Dual Algorithm and Application to Distributed Asynchronous Optimization
- Distributed Primal Decomposition for Large-Scale MILPs
- A Smooth Double Proximal Primal-Dual Algorithm for a Class of Distributed Nonsmooth Optimization Problems
- Distributed primal–dual interior-point methods for solving tree-structured coupled convex problems using message-passing
- Distributed Saddle-Point Subgradient Algorithms With Laplacian Averaging
- Distributed optimization with inexact oracle
- Delay-tolerant augmented-consensus-based distributed directed optimization
- Consensus-based distributed solution algorithms for linear equations with block Toeplitz structures
- Distributed constrained optimization over unbalanced graphs and delayed gradient
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