Primal-dual algorithm for distributed constrained optimization
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Publication:325079
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 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.
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- Distributed decision-coupled constrained optimization via proximal-tracking
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