Distributed Stochastic Approximation with Local Projections

Suhail M. Shah; Vivek S. Borkar

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arXiv · 1708.08246

Distributed Stochastic Approximation with Local Projections

Suhail M. Shah·Vivek S. Borkar

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Abstract

We propose a distributed version of a stochastic approximation scheme constrained to remain in the intersection of a finite family of convex sets. The projection to the intersection of these sets is also computed in a distributed manner and a `nonlinear gossip' mechanism is employed to blend the projection iterations with the stochastic approximation using multiple time scales

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Suhail M. Shah, Vivek S. Borkar. 2017-08-28. Distributed Stochastic Approximation with Local Projections. https://arxiv.org/abs/1708.08246

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