A General Framework of Exact Primal-Dual First-Order Algorithms for Distributed Optimization

Fatemeh Mansoori, Ermin Wei

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

We study the problem of minimizing a sum of local objective convex functions over a network of processors/agents. This problem naturally calls for distributed optimization algorithms, in which the agents cooperatively solve the problem through local computations and communications with neighbors. While many of the existing distributed algorithms with constant stepsize can only converge to a neighborhood of optimal solution, some recent methods based on augmented Lagrangian and method of multipliers can achieve exact convergence with a fixed stepsize. However, these methods either suffer from slow convergence speed or require minimization at each iteration. In this work, we develop a class of distributed first-order primal-dual methods, which allows for multiple primal steps per iteration. This general framework makes it possible to control the trade-off between the performance and the execution complexity in primal-dual algorithms. We show that for strongly convex and Lipschitz gradient objective functions, this class of algorithms converges linearly to the optimal solution under appropriate constant stepsize choices. Simulation results confirm the superior performance of our algorithm compared to existing methods.

Original languageEnglish (US)
Title of host publication2019 IEEE 58th Conference on Decision and Control, CDC 2019
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages6386-6391
Number of pages6
ISBN (Electronic)9781728113982
DOIs
StatePublished - Dec 2019
Event58th IEEE Conference on Decision and Control, CDC 2019 - Nice, France
Duration: Dec 11 2019Dec 13 2019

Publication series

NameProceedings of the IEEE Conference on Decision and Control
Volume2019-December
ISSN (Print)0743-1546

Conference

Conference58th IEEE Conference on Decision and Control, CDC 2019
CountryFrance
CityNice
Period12/11/1912/13/19

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Modeling and Simulation
  • Control and Optimization

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  • Cite this

    Mansoori, F., & Wei, E. (2019). A General Framework of Exact Primal-Dual First-Order Algorithms for Distributed Optimization. In 2019 IEEE 58th Conference on Decision and Control, CDC 2019 (pp. 6386-6391). [9029902] (Proceedings of the IEEE Conference on Decision and Control; Vol. 2019-December). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/CDC40024.2019.9029902