Multi-Agent Distributed Optimization via Inexact Consensus ADMM

DOI10.1109/TSP.2014.2367458zbMATH Open1393.90124arXiv1402.6065OpenAlexW2092620240MaRDI QIDQ4579700FDOQ4579700

Authors: Tsung-Hui Chang, Mingyi Hong, Xiangfeng Wang 

Publication date: 22 August 2018

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Abstract: Multi-agent distributed consensus optimization problems arise in many signal processing applications. Recently, the alternating direction method of multipliers (ADMM) has been used for solving this family of problems. ADMM based distributed optimization method is shown to have faster convergence rate compared with classic methods based on consensus subgradient, but can be computationally expensive, especially for problems with complicated structures or large dimensions. In this paper, we propose low-complexity algorithms that can reduce the overall computational cost of consensus ADMM by an order of magnitude for certain large-scale problems. Central to the proposed algorithms is the use of an inexact step for each ADMM update, which enables the agents to perform cheap computation at each iteration. Our convergence analyses show that the proposed methods converge well under some convexity assumptions. Numerical results show that the proposed algorithms offer considerably lower computational complexity than the standard ADMM based distributed optimization methods.

Full work available at URL: https://arxiv.org/abs/1402.6065

Mathematics Subject Classification ID

Programming involving graphs or networks (90C35) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited In (49)

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• Composite optimization with coupling constraints via dual proximal gradient method with applications to asynchronous networks
• Distributed convex optimization with coupling constraints over time-varying directed graphs
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• Communication-efficient algorithms for decentralized and stochastic optimization
• Online supervised learning with distributed features over multiagent system
• Differentially private distributed optimization for multi-agent systems via the augmented Lagrangian algorithm
• Distributed nonconvex constrained optimization over time-varying digraphs
• Distributed Model Predictive Control of linear discrete-time systems with local and global constraints
• Distributed Nonconvex Optimization of Multiagent Systems Using Boosting Functions to Escape Local Optima
• Distributed Nash equilibrium seeking under partial-decision information via the alternating direction method of multipliers
• Supervised model predictive control of large‐scale electricity networks via clustering methods
• Augmented Lagrange algorithms for distributed optimization over multi-agent networks via edge-based method
• A partially inexact ADMM with o(1/n) asymptotic convergence rate, 𝒪(1/n) complexity, and immediate relative error tolerance
• Distributed constraint-coupled optimization via primal decomposition over random time-varying graphs
• GADMM: fast and communication efficient framework for distributed machine learning
• Proximal ADMM for nonconvex and nonsmooth optimization
• A review of decentralized optimization focused on information flows of decomposition algorithms
• Decentralized consensus algorithm with delayed and stochastic gradients
• Linear convergence of primal-dual gradient methods and their performance in distributed optimization
• Augmented Lagrangian optimization under fixed-point arithmetic
• Optimal gradient tracking for decentralized optimization
• A solution strategy for distributed uncertain economic dispatch problems via scenario theory
• On the linear convergence of two decentralized algorithms
• A variance-reduced stochastic gradient tracking algorithm for decentralized optimization with orthogonality constraints
• EXTRA: an exact first-order algorithm for decentralized consensus optimization
• Achieving Linear Convergence in Distributed Asynchronous Multiagent Optimization
• Achieving Geometric Convergence for Distributed Optimization Over Time-Varying Graphs
• A fast proximal gradient algorithm for decentralized composite optimization over directed networks
• Golden ratio proximal gradient ADMM for distributed composite convex optimization
• Distributed Robust Subspace Recovery
• A generalized alternating direction implicit method for consensus optimization: application to distributed sparse logistic regression
• Distributed stochastic variance reduced gradient methods by sampling extra data with replacement
• Distributed Nash equilibrium learning: A second‐order proximal algorithm
• Tracking-ADMM for distributed constraint-coupled optimization
• A block successive upper-bound minimization method of multipliers for linearly constrained convex optimization
• A new look at distributed optimal output agreement of multi-agent systems
• Distributed and consensus optimization for non-smooth image reconstruction
• A randomized incremental primal-dual method for decentralized consensus optimization
• A fully distributed ADMM-based dispatch approach for virtual power plant problems
• Graph Topology Invariant Gradient and Sampling Complexity for Decentralized and Stochastic Optimization
• Proximal nested primal-dual gradient algorithms for distributed constraint-coupled composite optimization
• Zeroth-order feedback optimization for cooperative multi-agent systems
• A survey on some recent developments of alternating direction method of multipliers
• Decentralized Dynamic Optimization Through the Alternating Direction Method of Multipliers
• Distributed online semi-supervised support vector machine
• Implementing the alternating direction method of multipliers for big datasets: a case study of least absolute shrinkage and selection operator
• A decentralized smoothing quadratic regularization algorithm for composite consensus optimization with non-Lipschitz singularities
• A distributed ADMM-like method for resource sharing over time-varying networks

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