论文标题
分布式约束耦合优化通过原始分解在随机时间变化图上
Distributed Constraint-Coupled Optimization via Primal Decomposition over Random Time-Varying Graphs
论文作者
论文摘要
本文解决了需要根据随机变化的图表来通信的大规模凸优化问题,这些问题需要以分布式的方式解决。具体而言,网络的目的是最大程度地减少本地成本的总和,同时满足本地和耦合约束。代理根据随时间变化的模型进行通信,在这种模型中,在每个迭代中,基础连接图的边缘具有某些不均匀概率。通过依靠适用于等效问题重新印度的原始分解方案,我们提出了一种新颖的分布式算法,在该算法中,代理仅与具有主动通信链接的邻居对总资源进行局部分配。该算法作为具有块智能更新的亚级别方法研究,其中块对应于每次迭代中活动的图形边缘。由于采用了这种分析方法,我们几乎可以确定与原始问题的最佳成本的融合,并且几乎可以确定渐近原始恢复,而无需诉诸于双重分解方案中通常采用的平均机制。在假设下降和恒定步尺的假设下,提供了明确的额线收敛速率。最后,一项关于插电式电动汽车充电问题的广泛数值研究证实了理论结果。
The paper addresses large-scale, convex optimization problems that need to be solved in a distributed way by agents communicating according to a random time-varying graph. Specifically, the goal of the network is to minimize the sum of local costs, while satisfying local and coupling constraints. Agents communicate according to a time-varying model in which edges of an underlying connected graph are active at each iteration with certain non-uniform probabilities. By relying on a primal decomposition scheme applied to an equivalent problem reformulation, we propose a novel distributed algorithm in which agents negotiate a local allocation of the total resource only with neighbors with active communication links. The algorithm is studied as a subgradient method with block-wise updates, in which blocks correspond to the graph edges that are active at each iteration. Thanks to this analysis approach, we show almost sure convergence to the optimal cost of the original problem and almost sure asymptotic primal recovery without resorting to averaging mechanisms typically employed in dual decomposition schemes. Explicit sublinear convergence rates are provided under the assumption of diminishing and constant step-sizes. Finally, an extensive numerical study on a plug-in electric vehicle charging problem corroborates the theoretical results.