A primal-dual method for conic constrained distributed optimization problems
Abstract
We consider cooperative multi-agent consensus optimization problems over an undirected network of agents, where only those agents connected by an edge can directly communicate. The objective is to minimize the sum of agent-specific composite convex functions over agent-specific private conic constraint sets; hence, the optimal consensus decision should lie in the intersection of these private sets. We provide convergence rates both in sub-optimality, infeasibility and consensus violation; examine the effect of underlying network topology on the convergence rates of the proposed decentralized algorithms; and show how to extend these methods to handle time-varying communications networks and to solve problems with resource sharing constraints.
Cite
@article{arxiv.1607.02536,
title = {A primal-dual method for conic constrained distributed optimization problems},
author = {Necdet Serhat Aybat and Erfan Yazdandoost Hamedani},
journal= {arXiv preprint arXiv:1607.02536},
year = {2016}
}