On distributed convex optimization under inequality and equality constraints via primal-dual subgradient methods

Minghui Zhu; Sonia Martinez

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arXiv · 1001.2612

On distributed convex optimization under inequality and equality constraints via primal-dual subgradient methods

Minghui Zhu·Sonia Martinez

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Abstract

We consider a general multi-agent convex optimization problem where the agents are to collectively minimize a global objective function subject to a global inequality constraint, a global equality constraint, and a global constraint set. The objective function is defined by a sum of local objective functions, while the global constraint set is produced by the intersection of local constraint sets. In particular, we study two cases: one where the equality constraint is absent, and the other where the local constraint sets are identical. We devise two distributed primal-dual subgradient algorithms which are based on the characterization of the primal-dual optimal solutions as the saddle points of the Lagrangian and penalty functions. These algorithms can be implemented over networks with changing topologies but satisfying a standard connectivity property, and allow the agents to asymptotically agree on optimal solutions and optimal values of the optimization problem under the Slater's condition.

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Minghui Zhu, Sonia Martinez. 2010-01-15. On distributed convex optimization under inequality and equality constraints via primal-dual subgradient methods. https://arxiv.org/abs/1001.2612

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