Primal-dual algorithm for distributed constrained optimization

DOI10.1016/J.SYSCONLE.2016.07.009zbMATH Open1347.93019arXiv1510.08580OpenAlexW2963550797MaRDI QIDQ325079FDOQ325079

Authors: Jinlong Lei, Hai-Tao Fang, Hanfu Chen 

Publication date: 17 October 2016

Published in: Systems \& Control Letters (Search for Journal in Brave)

Abstract: The paper studies a distributed constrained optimization problem, where multiple agents connected in a network collectively minimize the sum of individual objective functions subject to a global constraint being an intersection of the local constraint sets assigned to the agents. Based on the augmented Lagrange method, a distributed primal-dual algorithm with a projection operation included is proposed to solve the problem. It is shown that with appropriately chosen constant step size, the local estimates derived at all agents asymptotically reach a consensus at an optimal solution. In addition, the value of the cost function at the time-averaged estimate converges with rate $O(frac1k)$ to the optimal value for the unconstrained problem. By these properties the proposed primal-dual algorithm is distinguished from the existing algorithms for distributed constrained optimization. The theoretical analysis is justified by numerical simulations.

Full work available at URL: https://arxiv.org/abs/1510.08580

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zbMATH Keywords

multi-agent networkprimal-dual algorithmaugmented Lagrange methoddistributed constrained optimization

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Agent technology and artificial intelligence (68T42) Decentralized systems (93A14)

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