Distributed Proximal Algorithms for Multi-Agent Optimization with Coupled Inequality Constraints [article]

Xiuxian Li, Gang Feng, Lihua Xie
2020 arXiv   pre-print
This paper aims to address distributed optimization problems over directed and time-varying networks, where the global objective function consists of a sum of locally accessible convex objective functions subject to a feasible set constraint and coupled inequality constraints whose information is only partially accessible to each agent. For this problem, a distributed proximal-based algorithm, called distributed proximal primal-dual (DPPD) algorithm, is proposed based on the celebrated
more » ... ed proximal point algorithm. It is shown that the proposed algorithm can lead to the global optimal solution with a general stepsize, which is diminishing and non-summable, but not necessarily square-summable, and the saddle-point running evaluation error vanishes proportionally to O(1/√(k)), where k>0 is the iteration number. Finally, a simulation example is presented to corroborate the effectiveness of the proposed algorithm.
arXiv:1907.03245v2 fatcat:g6cinqfypbfv7ie2uvikij4kaa