Distributed Proximal Algorithms for Multiagent Optimization With Coupled Inequality Constraints

This article aims to address distributed optimization problems over directed and time-varying networks, where the global objective function consists of a sum of locally accessible convex objective functions subject to a feasible set constraint and coupled inequality constraints whose information is only partially accessible to each agent. For this problem, a distributed proximal-based algorithm, called distributed proximal primal-dual algorithm, is proposed based on the celebrated centralized proximal point algorithm. It is shown that the proposed algorithm can lead to the global optimal solution with a general step size, which is diminishing and nonsummable, but not necessarily square summable, and the saddle-point running evaluation error vanishes proportionally to O(1/root k), where k > 0 is the iteration number. Finally, a simulation example is presented to corroborate the effectiveness of the proposed algorithm.

Automated summary

This article addresses distributed optimization problems over directed and time-varying networks, proposing a distributed proximal-based algorithm to solve the problem. The algorithm is shown to lead to the global optimal solution with a general step size, and the saddle-point running evaluation error vanishes proportionally to O(1/root k) with iteration number k. A simulation example is presented to demonstrate the effectiveness of the algorithm.