A Coordinate Descent Primal-Dual Algorithm and Application to Distributed Asynchronous Optimization
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Publication:2980337
DOI10.1109/TAC.2015.2512043zbMATH Open1359.90090arXiv1407.0898OpenAlexW2963607435MaRDI QIDQ2980337FDOQ2980337
Pascal Bianchi, Franck Iutzeler, W. Hachem
Publication date: 3 May 2017
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Abstract: Based on the idea of randomized coordinate descent of -averaged operators, a randomized primal-dual optimization algorithm is introduced, where a random subset of coordinates is updated at each iteration. The algorithm builds upon a variant of a recent (deterministic) algorithm proposed by V~u and Condat that includes the well known ADMM as a particular case. The obtained algorithm is used to solve asynchronously a distributed optimization problem. A network of agents, each having a separate cost function containing a differentiable term, seek to find a consensus on the minimum of the aggregate objective. The method yields an algorithm where at each iteration, a random subset of agents wake up, update their local estimates, exchange some data with their neighbors, and go idle. Numerical results demonstrate the attractive performance of the method. The general approach can be naturally adapted to other situations where coordinate descent convex optimization algorithms are used with a random choice of the coordinates.
Full work available at URL: https://arxiv.org/abs/1407.0898
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- A distributed conjugate gradient online learning method over networks
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- Asymmetric forward-backward-adjoint splitting for solving monotone inclusions involving three operators
- Distributed Deterministic Asynchronous Algorithms in Time-Varying Graphs Through Dykstra Splitting
- Decentralized proximal splitting algorithms for composite constrained convex optimization
- A class of randomized primal-dual algorithms for distributed optimization
- Non-parallel bounded support matrix machine and its application in roller bearing fault diagnosis
- A randomized incremental primal-dual method for decentralized consensus optimization
- A Coordinate-Descent Primal-Dual Algorithm with Large Step Size and Possibly Nonseparable Functions
- A fully stochastic primal-dual algorithm
- Primal-dual algorithms for multi-agent structured optimization over message-passing architectures with bounded communication delays
- A generic online acceleration scheme for optimization algorithms via relaxation and inertia
- Distributed composite optimization for multi-agent systems with asynchrony
- Coordinate Descent Face-Off: Primal or Dual?
- An Optimal Algorithm for Decentralized Finite-Sum Optimization
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