Distributed Proximal Algorithms for Multi-Agent Optimization with Coupled Inequality Constraints

DOI10.1109/TAC.2020.2989282arXiv1907.03245MaRDI QIDQ6321663FDOQ6321663

Lihua Xie, Xiuxian Li, Gang Feng

Publication date: 7 July 2019

Abstract: This paper aims to address distributed optimization problems over directed and time-varying networks, where the global objective function consists of a sum of locally accessible convex objective functions subject to a feasible set constraint and coupled inequality constraints whose information is only partially accessible to each agent. For this problem, a distributed proximal-based algorithm, called distributed proximal primal-dual (DPPD) algorithm, is proposed based on the celebrated centralized proximal point algorithm. It is shown that the proposed algorithm can lead to the global optimal solution with a general stepsize, which is diminishing and non-summable, but not necessarily square-summable, and the saddle-point running evaluation error vanishes proportionally to $O(1/sqrtk)$, where $k>0$ is the iteration number. Finally, a simulation example is presented to corroborate the effectiveness of the proposed algorithm.

Mathematics Subject Classification ID

Convex programming (90C25) Distributed algorithms (68W15) Multi-agent systems (93A16) Networked control (93B70)

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