DISTRIBUTED SUBGRADIENT-FREE STOCHASTIC OPTIMIZATION ALGORITHM FOR NONSMOOTH CONVEX FUNCTIONS OVER TIME-VARYING NETWORKS

doi:10.1137/18M119046X

CSpace > 系统科学研究所

	DISTRIBUTED SUBGRADIENT-FREE STOCHASTIC OPTIMIZATION ALGORITHM FOR NONSMOOTH CONVEX FUNCTIONS OVER TIME-VARYING NETWORKS
	Wang, Yinghui 1,2; Zhao, Wenxiao1,2 ; Hong, Yiguang1,2 ; Zamani, Mohsen 3
	2019
发表期刊	SIAM JOURNAL ON CONTROL AND OPTIMIZATION
ISSN	0363-0129
卷号	57 期号:4 页码:2821-2842
摘要	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.
关键词	distributed stochastic optimization gradient-/subgadient-free algorithm nonsmoothness randomized differences
DOI	10.1137/18M119046X
语种	英语
资助项目	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研究方向	Automation & Control Systems ; Mathematics
WOS类目	Automation & Control Systems ; Mathematics, Applied
WOS记录号	WOS:000483941200022
出版者	SIAM PUBLICATIONS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/33322
专题	系统科学研究所
通讯作者	Wang, Yinghui
作者单位	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
推荐引用方式 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.