Distributed Stochastic Approximation with Local Projections
Systems and Control
2017-08-29 v1
Abstract
We propose a distributed version of a stochastic approximation scheme constrained to remain in the intersection of a finite family of convex sets. The projection to the intersection of these sets is also computed in a distributed manner and a `nonlinear gossip' mechanism is employed to blend the projection iterations with the stochastic approximation using multiple time scales
Cite
@article{arxiv.1708.08246,
title = {Distributed Stochastic Approximation with Local Projections},
author = {Suhail M. Shah and Vivek S. Borkar},
journal= {arXiv preprint arXiv:1708.08246},
year = {2017}
}
Comments
28 pages, 3 figures, submitted to SiOpt