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Primal-dual algorithm for distributed constrained optimization
Lei, Jinlong; Chen, Han-Fu; Fang, Hai-Tao
AbstractThe 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.
KeywordDistributed constrained optimization Primal-dual algorithm Augmented Lagrange method Multi-agent network
Funding ProjectNSFC[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 Research AreaAutomation & Control Systems ; Operations Research & Management Science
WOS SubjectAutomation & Control Systems ; Operations Research & Management Science
WOS IDWOS:000384788100016
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Document Type期刊论文
Corresponding AuthorLei, Jinlong
AffiliationChinese Acad Sci, Acad Math & Syst Sci, Key Lab Syst & Control, Beijing 100864, Peoples R China
Recommended Citation
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.
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