Distributed nonconvex constrained optimization over time-varying digraphs

This paper considers nonconvex distributed constrained optimization over networks, modeled as directed (possibly time-varying) graphs. We introduce the first algorithmic framework for the minimization of the sum of a smooth nonconvex (nonseparable) function—the agent’s sum-utility—plus a difference-...

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Vydané v:Mathematical programming Ročník 176; číslo 1-2; s. 497 - 544
Hlavní autori: Scutari, Gesualdo, Sun, Ying
Médium: Journal Article
Jazyk:English
Vydavateľské údaje: Berlin/Heidelberg Springer Berlin Heidelberg 01.07.2019
Springer Nature B.V
Predmet:
Algorithms
Calculus of Variations and Optimal Control; Optimization
Combinatorics
Convergence
Economic models
Engineering education
Full Length Paper
Graph theory
Machine learning
Mathematical and Computational Physics
Mathematical Methods in Physics
Mathematical models
Mathematics
Mathematics and Statistics
Mathematics of Computing
Nonlinear programming
Numerical Analysis
Optimization
Theoretical
90C90
65K10
91A10
65K15
49M27
90C33
ISSN:0025-5610, 1436-4646
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Popis
Shrnutí:This paper considers nonconvex distributed constrained optimization over networks, modeled as directed (possibly time-varying) graphs. We introduce the first algorithmic framework for the minimization of the sum of a smooth nonconvex (nonseparable) function—the agent’s sum-utility—plus a difference-of-convex function (with nonsmooth convex part). This general formulation arises in many applications, from statistical machine learning to engineering. The proposed distributed method combines successive convex approximation techniques with a judiciously designed perturbed push-sum consensus mechanism that aims to track locally the gradient of the (smooth part of the) sum-utility. Sublinear convergence rate is proved when a fixed step-size (possibly different among the agents) is employed whereas asymptotic convergence to stationary solutions is proved using a diminishing step-size. Numerical results show that our algorithms compare favorably with current schemes on both convex and nonconvex problems.
Bibliografia:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ISSN:0025-5610
1436-4646
DOI:10.1007/s10107-018-01357-w