Distributed Solutions for a Class of Multi-agent Optimization Problems

2019-05-10T16:12:01Z (GMT) by Xiaodong Hou
Distributed optimization over multi-agent networks has become an increasingly popular research topic as it incorporates many applications from various areas such as consensus optimization, distributed control, network resource allocation, large scale machine learning, etc. Parallel distributed solution algorithms are highly desirable as they are more scalable, more robust against agent failure, align more naturally with either underlying agent network topology or big-data parallel computing framework. In this dissertation, we consider a multi-agent optimization formulation where the global objective function is the summation of individual local objective functions with respect to local agents' decision variables of different dimensions, and the constraints include both local private constraints and shared coupling constraints. Employing and extending tools from the monotone operator theory (including resolvent operator, operator splitting, etc.) and fixed point iteration of nonexpansive, averaged operators, a series of distributed solution approaches are proposed, which are all iterative algorithms that rely on parallel agent level local updates and inter-agent coordination. Some of the algorithms require synchronizations across all agents for information exchange during each iteration while others allow asynchrony and delays. The algorithms' convergence to an optimal solution if one exists are established by first characterizing them as fixed point iterations of certain averaged operators under certain carefully designed norms, then showing that the fixed point sets of these averaged operators are exactly the optimal solution set of the original multi-agent optimization problem. The effectiveness and performances of the proposed algorithms are demonstrated and compared through several numerical examples.<br>