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STOCHASTIC APPROXIMATION BASED CONSENSUS DYNAMICS OVER MARKOVIAN NETWORKS
Huang, Minyi1; Li, Tao2; Zhang, Ji-Feng3
2015
Source PublicationSIAM JOURNAL ON CONTROL AND OPTIMIZATION
ISSN0363-0129
Volume53Issue:6Pages:3339-3363
AbstractThis paper considers consensus problems with random networks. A key object of our analysis is a sequence of stochastic matrices which involve Markovian switches and decreasing step sizes. We establish ergodicity of the backward products of these stochastic matrices. The basic technique is to consider the second moment dynamics of an associated Markovian jump linear system and exploit its two-scale interaction property resulting from the decreasing step sizes. The mean square convergence rate of the backward products is also obtained. The ergodicity results are used to prove mean square consensus of stochastic approximation algorithms where agents collect noisy information. The approach is further applied to a token scheduled averaging model.
Keywordbackward product consensus ergodicity Markovian switch mean square convergence stochastic approximation
DOI10.1137/140984348
Language英语
Funding ProjectNatural Sciences and Engineering Research Council (NSERC) of Canada ; National Natural Science Foundation of China[61370030] ; National Natural Science Foundation of China[61120106011] ; Shanghai Rising-Star Program[15QA1402000] ; Program for Professor of Special Appointment (Eastern Scholar) at Shanghai Institutions of Higher Learning ; National Key Basic Research Program of China (973 Program)[2014CB845301]
WOS Research AreaAutomation & Control Systems ; Mathematics
WOS SubjectAutomation & Control Systems ; Mathematics, Applied
WOS IDWOS:000367020200002
PublisherSIAM PUBLICATIONS
Citation statistics
Cited Times:5[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/21557
Collection系统科学研究所
Affiliation1.Carleton Univ, Sch Math & Stat, Ottawa, ON K1S 5B6, Canada
2.Shanghai Univ, Sch Mechatron Engn & Automat, Shanghai 200072, Peoples R China
3.Chinese Acad Sci, Acad Math & Syst Sci, Key Lab Syst & Control, Beijing 100190, Peoples R China
Recommended Citation
GB/T 7714
Huang, Minyi,Li, Tao,Zhang, Ji-Feng. STOCHASTIC APPROXIMATION BASED CONSENSUS DYNAMICS OVER MARKOVIAN NETWORKS[J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION,2015,53(6):3339-3363.
APA Huang, Minyi,Li, Tao,&Zhang, Ji-Feng.(2015).STOCHASTIC APPROXIMATION BASED CONSENSUS DYNAMICS OVER MARKOVIAN NETWORKS.SIAM JOURNAL ON CONTROL AND OPTIMIZATION,53(6),3339-3363.
MLA Huang, Minyi,et al."STOCHASTIC APPROXIMATION BASED CONSENSUS DYNAMICS OVER MARKOVIAN NETWORKS".SIAM JOURNAL ON CONTROL AND OPTIMIZATION 53.6(2015):3339-3363.
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