Distributed continuous-time gradient-based algorithm for constrained optimization

In this paper, we consider distributed algorithm based on a continuous-time multi-agent system to solve constrained optimization problem. The global optimization objective function is taken as the sum of agents' individual objective functions under a group of convex inequality function constrai...

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Bibliographic Details
Published in:Chinese Control Conference pp. 1563 - 1567
Main Authors: Peng Yi, Yiguang Hong
Format: Conference Proceeding
Language:English
Published: TCCT, CAA 01.07.2014
Subjects:
Algorithm design and analysis
constrained optimization
continuous-time optimization algorithm
Distributed optimization
Heuristic algorithms
Lagrangian multiplier method
Linear programming
Multi-agent systems
Optimization
Trajectory
ISSN:1934-1768
Online Access:Get full text
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Summary:In this paper, we consider distributed algorithm based on a continuous-time multi-agent system to solve constrained optimization problem. The global optimization objective function is taken as the sum of agents' individual objective functions under a group of convex inequality function constraints. Because the local objective functions cannot be explicitly known by all the agents, the problem has to be solved in a distributed manner with the cooperation between agents. Here we propose a continuous-time distributed gradient dynamics based on the KKT condition and Lagrangian multiplier methods to solve the optimization problem. We show that all the agents asymptotically converge to the same optimal solution with the help of a constructed Lyapunov function and a LaSalle invariance principle of hybrid systems.
ISSN:1934-1768
DOI:10.1109/ChiCC.2014.6896861