Primal-dual algorithm for distributed constrained optimization

doi:10.1016/j.sysconle.2016.07.009

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	Primal-dual algorithm for distributed constrained optimization
	Lei, Jinlong; Chen, Han-Fu; Fang, Hai-Tao
	2016-10-01
发表期刊	SYSTEMS & CONTROL LETTERS
ISSN	0167-6911
卷号	96 页码:110-117
摘要	The paper studies a distributed constrained optimization problem, where multiple agents connected in a network collectively minimize the sum of individual objective functions subject to a global constraint being an intersection of the local constraints assigned to the agents. Based on the augmented Lagrange method, a distributed primal-dual algorithm with a projection operation included is proposed to solve the problem. It is shown that with appropriately chosen constant step size,,the local estimates derived at all agents asymptotically reach a consensus at an optimal solution. In addition, the value of the cost function at the time-averaged estimate converges with rate O(1/k) to the optimal value for the unconstrained problem. By these properties, the proposed primal-dual algorithm is distinguished from the existing algorithms for distributed constrained optimization. The theoretical analysis is justified by numerical simulations. (C) 2016 Elsevier B.V. All rights reserved.
关键词	Distributed constrained optimization Primal-dual algorithm Augmented Lagrange method Multi-agent network
DOI	10.1016/j.sysconle.2016.07.009
语种	英语
资助项目	NSFC[61273193] ; NSFC[61120106011] ; NSFC[61134013] ; NSFC[61573345] ; 973 program of China[2014CB845301] ; National Center for Mathematics and Interdisciplinary Sciences, Chinese Academy of Sciences[Y629091ZZ2]
WOS研究方向	Automation & Control Systems ; Operations Research & Management Science
WOS类目	Automation & Control Systems ; Operations Research & Management Science
WOS记录号	WOS:000384788100016
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/23699
专题	系统科学研究所
通讯作者	Lei, Jinlong
作者单位	Chinese Acad Sci, Acad Math & Syst Sci, Key Lab Syst & Control, Beijing 100864, Peoples R China
推荐引用方式 GB/T 7714	Lei, Jinlong,Chen, Han-Fu,Fang, Hai-Tao. Primal-dual algorithm for distributed constrained optimization[J]. SYSTEMS & CONTROL LETTERS,2016,96:110-117.
APA	Lei, Jinlong,Chen, Han-Fu,&Fang, Hai-Tao.(2016).Primal-dual algorithm for distributed constrained optimization.SYSTEMS & CONTROL LETTERS,96,110-117.
MLA	Lei, Jinlong,et al."Primal-dual algorithm for distributed constrained optimization".SYSTEMS & CONTROL LETTERS 96(2016):110-117.