A Duality-Based Approach for Distributed Min–Max Optimization
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Publication:5223766
DOI10.1109/TAC.2018.2872200zbMATH Open1482.90243arXiv1611.09168WikidataQ129244565 ScholiaQ129244565MaRDI QIDQ5223766FDOQ5223766
Authors: Ivano Notarnicola, Mauro Franceschelli, Giuseppe Notarstefano 
Publication date: 18 July 2019
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Abstract: In this paper we consider a distributed optimization scenario in which a set of processors aims at cooperatively solving a class of min-max optimization problems. This set-up is motivated by peak-demand minimization problems in smart grids. Here, the goal is to minimize the peak value over a finite horizon with: (i) the demand at each time instant being the sum of contributions from different devices, and (ii) the device states at different time instants being coupled through local constraints (e.g., the dynamics). The min-max structure and the double coupling (through the devices and over the time horizon) makes this problem challenging in a distributed set-up (e.g., existing distributed dual decomposition approaches cannot be applied). We propose a distributed algorithm based on the combination of duality methods and properties from min-max optimization. Specifically, we repeatedly apply duality theory and properly introduce ad-hoc slack variables in order to derive a series of equivalent problems. On the resulting problem we apply a dual subgradient method, which turns out to be a distributed algorithm consisting of a minimization on the original primal variables and a suitable dual update. We prove the convergence of the proposed algorithm in objective value. Moreover, we show that every limit point of the primal sequence is an optimal (feasible) solution. Finally, we provide numerical computations for a peak-demand optimization problem in a network of thermostatically controlled loads.
Full work available at URL: https://arxiv.org/abs/1611.09168
Cited In (4)
- Composite optimization with coupling constraints via dual proximal gradient method with applications to asynchronous networks
- Two-timescale recurrent neural networks for distributed minimax optimization
- Predefined-time distributed optimization of general linear multi-agent systems
- Distributed average tracking for uncertain directed multiagent networks
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