Accelerated Convergence Algorithm for Distributed Constrained Optimization under Time-Varying General Directed Graphs

Huaqing Li

doi:10.1109/TSMC.2018.2823901

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Accelerated Convergence Algorithm for Distributed Constrained Optimization under Time-Varying General Directed Graphs

2020-07-01

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DOI：10.1109/TSMC.2018.2823901

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Abstract

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This paper studies a class of distributed convex optimization problems by a set of agents in which each agent only has access to its own local convex objective function and the estimate of each agent is restricted to both coupling linear constraint and individual box constraints. Our focus is to devise a distributed primal-dual gradient algorithm for working out the problem over a sequence of time-varying general directed graphs. The communications among agents are assumed to be uniformly strongly connected. A column-stochastic mixing matrix and a fixed step-size are applied in the algorithm which exactly steers all the agents to asymptotically converge to a global optimal solution. Based on the standard strong convexity and the smoothness assumptions of the objective functions, we show that the distributed algorithm is capable of driving the whole network to geometrically converge to an optimal solution of the convex optimization problem only if the step-size does not exceed some upper bound. We also give an explicit analysis for the convergence rate of the proposed optimization algorithm. Simulations on economic dispatch problems and demand response problems in power systems are performed to illustrate the effectiveness of the proposed optimization algorithm.

Keywords:

Optimization

Convergence

Linear programming

Convex functions

Multi-agent systems

Generators

Couplings

Distributed convex optimization

geometric convergence

multiagent systems

primal-dual algorithm

time-varying directed graphs

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