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arxiv 1908.11835 v4 pith:65DIIEVH submitted 2019-08-30 math.OC

A Decentralized Primal-dual Method for Constrained Minimization of a Strongly Convex Function

classification math.OC
keywords consensusagent-specificcommunicationsconvergenceconvexdecentralizedfunctionsprimal-dual
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We propose decentralized primal-dual methods for cooperative multi-agent consensus optimization problems over both static and time-varying communication networks, where only local communications are allowed. The objective is to minimize the sum of agent-specific convex functions over conic constraint sets defined by agent-specific nonlinear functions; hence, the optimal consensus decision should lie in the intersection of these private sets. Under the strong convexity assumption, we provide convergence rates for sub-optimality, infeasibility, and consensus violation in terms of the number of communications required; examine the effect of underlying network topology on the convergence rates.

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