Distributed Mirror Descent over Directed Graphs

Abstract

In this paper, we propose Distributed Mirror Descent (DMD) algorithm for constrained convex optimization problems on a (strongly-)connected multi-agent network. We assume that each agent has a private objective function and a constraint set. The proposed DMD algorithm employs a locally designed Bregman distance function at each agent, and thus can be viewed as a generalization of the well-known Distributed Projected Subgradient (DPS) methods, which use identical Euclidean distances at the agents. At each iteration of the DMD, each agent optimizes its own objective adjusted with the Bregman distance function while exchanging state information with its neighbors. To further generalize DMD, we consider the case where the agent communication follows a \emph{directed} graph and it may not be possible to design doubly-stochastic weight matrices. In other words, we restrict the corresponding weight matrices to be row-stochastic instead of doubly-stochastic. We study the convergence of DMD in two cases: (i) when the constraint sets at the agents are the same; and, (ii) when the constraint sets at the agents are different. By partially following the spirit of our proof, it can be shown that a class of consensus-based distributed optimization algorithms, restricted to doubly-stochastic matrices, remain convergent with stochastic matrices.