KMS Of Academy of mathematics and systems sciences, CAS
| DISTRIBUTED SUBGRADIENT-FREE STOCHASTIC OPTIMIZATION ALGORITHM FOR NONSMOOTH CONVEX FUNCTIONS OVER TIME-VARYING NETWORKS | |
Wang, Yinghui1,2; Zhao, Wenxiao1,2 ; Hong, Yiguang1,2; Zamani, Mohsen3
| |
| 2019 | |
| Source Publication | SIAM JOURNAL ON CONTROL AND OPTIMIZATION
 |
| ISSN | 0363-0129 |
| Volume | 57Issue:4Pages:2821-2842 |
| Abstract | In this paper we consider a distributed stochastic optimization problem without gradient/subgradient information for local objective functions and subject to local convex constraints. Objective functions may he nonsmooth and observed with stochastic noises, and the network for the distributed design is time-varying. By adding stochastic dithers to local objective functions and constructing randomized differences motivated by the Kiefer-Wolfowitz algorithm, we propose a distributed subgradient-free algorithm for finding the global minimizer with local observations. Moreover, we prove that the consensus of estimates and global minimization can he achieved with probability one over the time-varying network, and we obtain the convergence rate of the mean average of estimates as well. Finally, we give numerical examples to illustrate the performance of the proposed algorithms. |
| Keyword | distributed stochastic optimization gradient-/subgadient-free algorithm nonsmoothness randomized differences |
| DOI | 10.1137/18M119046X |
| Language | 英语 |
| Funding Project | National Key Research and Development Program of China[2016YFB0901900] ; National Natural Science Foundation of China (NSFC)[61733018] ; National Natural Science Foundation of China (NSFC)[61573344] ; NSFC[61822312] ; NSFC[61573345] |
| WOS Research Area | Automation & Control Systems ; Mathematics |
| WOS Subject | Automation & Control Systems ; Mathematics, Applied |
| WOS ID | WOS:000483941200022 |
| Publisher | SIAM PUBLICATIONS |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/33322 |
| Collection | 系统科学研究所 |
| Corresponding Author | Wang, Yinghui |
| Affiliation | 1.Chinese Acad Sci, Acad Math & Syst Sci, Key Lab Syst & Control, Beijing 100190, Peoples R China 2.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China 3.Univ Newcastle, Sch Elect Engn & Comp, Callaghan, NSW 2308, Australia |
| Recommended Citation GB/T 7714 | Wang, Yinghui,Zhao, Wenxiao,Hong, Yiguang,et al. DISTRIBUTED SUBGRADIENT-FREE STOCHASTIC OPTIMIZATION ALGORITHM FOR NONSMOOTH CONVEX FUNCTIONS OVER TIME-VARYING NETWORKS[J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION,2019,57(4):2821-2842. |
| APA | Wang, Yinghui,Zhao, Wenxiao,Hong, Yiguang,&Zamani, Mohsen.(2019).DISTRIBUTED SUBGRADIENT-FREE STOCHASTIC OPTIMIZATION ALGORITHM FOR NONSMOOTH CONVEX FUNCTIONS OVER TIME-VARYING NETWORKS.SIAM JOURNAL ON CONTROL AND OPTIMIZATION,57(4),2821-2842. |
| MLA | Wang, Yinghui,et al."DISTRIBUTED SUBGRADIENT-FREE STOCHASTIC OPTIMIZATION ALGORITHM FOR NONSMOOTH CONVEX FUNCTIONS OVER TIME-VARYING NETWORKS".SIAM JOURNAL ON CONTROL AND OPTIMIZATION 57.4(2019):2821-2842. |
| Files in This Item: | There are no files associated with this item. | |||||
Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.
Edit Comment