An Approximate Dual Subgradient Algorithm for Multi-Agent Non-Convex Optimization

DOI10.1109/TAC.2012.2228038MaRDI QIDQ5353240zbMATH OpenOpenAlexFDO

Authors Minghui Zhu, Sonia Martínez

Publication date 8 September 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1010.2732

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Multi-objective and goal programming (90C29) Programming involving graphs or networks (90C35) Approximation methods and heuristics in mathematical programming (90C59) Applications of mathematical programming (90C90)

Abstract: We consider a multi-agent optimization problem where agents subject to local, intermittent interactions aim to minimize a sum of local objective functions subject to a global inequality constraint and a global state constraint set. In contrast to previous work, we do not require that the objective, constraint functions, and state constraint sets to be convex. In order to deal with time-varying network topologies satisfying a standard connectivity assumption, we resort to consensus algorithm techniques and the Lagrangian duality method. We slightly relax the requirement of exact consensus, and propose a distributed approximate dual subgradient algorithm to enable agents to asymptotically converge to a pair of primal-dual solutions to an approximate problem. To guarantee convergence, we assume that the Slater's condition is satisfied and the optimal solution set of the dual limit is singleton. We implement our algorithm over a source localization problem and compare the performance with existing algorithms.

Cited in

(14)

• Distributed constraint optimization on networked multi-agent systems
• A new algorithm for distributed control problem with shortest-distance constraints
• A consensus algorithm based on collective neurodynamic system for distributed optimization with linear and bound constraints
• Measurement-based efficient resource allocation with demand-side adjustments
• Distributed nonconvex constrained optimization over time-varying digraphs
• Distributed linear programming with event-triggered communication
• Second-order guarantees of distributed gradient algorithms
• A gradient‐free distributed optimization method for convex sum of nonconvex cost functions
• Fixed-time consensus for multi-agent systems with objective optimization on directed detail-balanced networks
• Distributed fixed-time optimization for multi-agent systems over a directed network
• Fixed‐time distributed optimization for multi‐agent systems with external disturbances over directed networks
• Distributed gradient descent method with edge-based event-driven communication for non-convex optimization
• MV bound and MV controller for convex-non-linear systems with input constraints
• Distributed robust adaptive equilibrium computation for generalized convex games

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