Convergence Analysis of a Distributed Optimization Algorithm with a General Unbalanced Directed Communication Network

Huaqing Li

doi:10.1109/TNSE.2018.2848288

2019-07-01

PRE

Huaqing Li *

Qingguo Lü

Tingwen Huang

DOI：10.1109/TNSE.2018.2848288

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摘要

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In this paper, we discuss a class of distributed constrained optimization problems in power systems where the target is to optimize the sum of all agents' local convex objective functions over a general unbalanced directed communication network. Each local convex objective function is known exclusively to a single agent, and the agents' variables are constrained to global coupling linear constraint and individual box constraints. To collaboratively solve the optimization problems, existing distributed methods mostly require the communication network to be balanced or have the knowledge of in-neighbors' out-degree for all agents, which are quite restrictive and hardly inevitable in practical applications. In contrast, we investigate a novel distributed primal-dual augmented (sub)gradient algorithm which utilizes a row-stochastic matrix (does not need each agent to know its in-neighbors out-degree) and employs uncoordinated step-sizes, and yet exactly converges to the optimal solution over a general unbalanced directed communication network. Under the assumptions of the strong convexity and smoothness on the aggregate objective functions, it is proved that the algorithm geometrically converges to the optimal solution if the uncoordinated step-sizes do not exceed the upper bound. An explicit analysis for the convergence rate of the proposed algorithm is also characterized. To manifest effectiveness and applicability of the proposed algorithm, three case studies are presented to solve two practical problems in power systems.

Keyword:

Distributed constrained optimization

unbalanced directed network

primal-dual (sub)gradient algorithm

uncoordinated step-sizes

power systems