论文标题

双重平均和梯度投影:分散式约束优化的收敛保证

Double Averaging and Gradient Projection: Convergence Guarantees for Decentralized Constrained Optimization

论文作者

Shahriari-Mehr, Firooz, Panahi, Ashkan

论文摘要

我们考虑在静态的,有向通信网络上使用通用分散的约束优化问题,在该网络中,每个代理都只能访问一个凸,可区分的本地目标项和一个凸约限制集。对于此设置,我们提出了一种基于局部梯度,对局部约束的投影以及局部平均值的新型分散算法,称为DAGP(双平均和梯度投影)。我们通过一种新颖的分布式跟踪技术来实现全球最优性,我们称为分布式空心投影。此外,我们表明DAGP可用于使用降低问题方案的非差异目标项来解决无限制的问题。仅假设客观术语的平滑度,我们研究了DAGP的收敛性,并在可行性,共识和最佳性方面建立了融合的亚线性速率,没有额外的假设(例如,强凸度)。为了进行分析,我们通过在优化问题中提出一种新的收敛分析方法来放弃选择Lyapunov函数的困难,我们称之为综合较低范围。为了证明这种方法的通用性,我们还为具有光滑功能的标准梯度下降算法提供了替代性收敛证明。最后,我们提出了数值结果,证明了我们提出的方法在约束和不受约束的问题中的有效性。特别是,我们提出了DAGP的分布式方案,以提高性能和速度的最佳运输问题。

We consider a generic decentralized constrained optimization problem over static, directed communication networks, where each agent has exclusive access to only one convex, differentiable, local objective term and one convex constraint set. For this setup, we propose a novel decentralized algorithm, called DAGP (Double Averaging and Gradient Projection), based on local gradients, projection onto local constraints, and local averaging. We achieve global optimality through a novel distributed tracking technique we call distributed null projection. Further, we show that DAGP can be used to solve unconstrained problems with non-differentiable objective terms with a problem reduction scheme. Assuming only smoothness of the objective terms, we study the convergence of DAGP and establish sub-linear rates of convergence in terms of feasibility, consensus, and optimality, with no extra assumption (e.g. strong convexity). For the analysis, we forego the difficulties of selecting Lyapunov functions by proposing a new methodology of convergence analysis in optimization problems, which we refer to as aggregate lower-bounding. To demonstrate the generality of this method, we also provide an alternative convergence proof for the standard gradient descent algorithm with smooth functions. Finally, we present numerical results demonstrating the effectiveness of our proposed method in both constrained and unconstrained problems. In particular, we propose a distributed scheme by DAGP for the optimal transport problem with superior performance and speed.

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