On the convergence of discrete-time linear systems: A linear time-varying Mann iteration converges iff the operator is strictly pseudocontractive
Abstract
We adopt an operator-theoretic perspective to study convergence of linear fixed-point iterations and discrete- time linear systems. We mainly focus on the so-called Krasnoselskij-Mann iteration x(k+1) = ( 1 - \alpha(k) ) x(k) + \alpha(k) A x(k), which is relevant for distributed computation in optimization and game theory, when A is not available in a centralized way. We show that convergence to a vector in the kernel of (I-A) is equivalent to strict pseudocontractiveness of the linear operator x -> Ax. We also characterize some relevant operator-theoretic properties of linear operators via eigenvalue location and linear matrix inequalities. We apply the convergence conditions to multi-agent linear systems with vanishing step sizes, in particular, to linear consensus dynamics and equilibrium seeking in monotone linear-quadratic games.
Keywords
Cite
@article{arxiv.1803.10469,
title = {On the convergence of discrete-time linear systems: A linear time-varying Mann iteration converges iff the operator is strictly pseudocontractive},
author = {Giuseppe Belgioioso and Filippo Fabiani and Franco Blanchini and Sergio Grammatico},
journal= {arXiv preprint arXiv:1803.10469},
year = {2018}
}