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Multi-Agent Distributed Optimization via Inexact Consensus ADMM
Open accessAbstract
Multi-agent distributed consensus optimization problems arise in many signal processing applications. Recently, the alternating direction method of multipliers (ADMM) has been used for solving this family of problems. ADMM based distributed optimization method is shown to have faster convergence rate compared with classic methods based on consensus subgradient, but can be computationally expensive, especially for problems with complicated structures or large dimensions. In this paper, we propose low-complexity algorithms that can reduce the overall computational cost of consensus ADMM by an order of magnitude for certain large-scale problems. Central to the proposed algorithms is the use of an inexact step for each ADMM update, which enables the agents to perform cheap computation at each iteration. Our convergence analyses show that the proposed methods converge well under some convexity assumptions. Numerical results show that the proposed algorithms offer considerably lower computational complexity than the standard ADMM based distributed optimization methods.
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Augmented Lagrangian based primal-dual methods have linear convergence under strong convexity and Lipschitz gradient assumptions or under the positive-definite bounded Hessian assumption.
“The augmented Lagrangian based primal-dual methods have linear convergence under strong convexity and Lipschitz gradient assumptions [4,30] or under the positive-definite bounded Hessian assumption [12,13].”
From EXTRA: An Exact First-Order Algorithm for Decentralized Consensus Optimization (2015) · cites this paper as [4]
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Sorted by citations
EXTRA: An Exact First-Order Algorithm for Decentralized Consensus Optimization
Shi, W., Ling, Q., Wu, G., & Yin, W. (2015) · SIAM Journal on Optimization · doi:10.1137/14096668x · Cited by 1,261
Achieving Geometric Convergence for Distributed Optimization Over Time-Varying Graphs
Nedić, A., Olshevsky, A., & Shi, W. (2017) · SIAM Journal on Optimization · doi:10.1137/16m1084316 · Cited by 1,069
“Building on (augmented) Lagrangian, a few improvements have been made via proximal-gradient [10], stochastic gradient [25], and second-order approximation [34, 35].”
NEXT: In-Network Nonconvex Optimization
Lorenzo, P. D., & Scutari, G. (2016) · IEEE Transactions on Signal and Information Processing over Networks · doi:10.1109/tsipn.2016.2524588 · Cited by 473
A Proximal Gradient Algorithm for Decentralized Composite Optimization
Shi, W., Ling, Q., Wu, G., & Yin, W. (2015) · IEEE Transactions on Signal Processing · doi:10.1109/tsp.2015.2461520 · Cited by 307
Stochastic proximal gradient consensus over time-varying networks
Hong, M., & Chang, T.-H. (2016) · 2016 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP) · doi:10.1109/icassp.2016.7472584 · Cited by 6
Self-citation
Metadata
- Authors
- Chang, T.-H., Hong, M., & Wang, X.
- Affiliations
- National Taiwan University of Science and Technology (TW)
- Iowa State University (US)
- Shanghai Key Laboratory of Trustworthy Computing (CN)
- Venue
- IEEE Transactions on Signal Processing
- Published
- 2015-01
- Volume
- 63
- Issue
- 2
- Pages
- 482-497
- ISSN
- 1053-587X (ISSN-L)
- 1941-0476
- OpenAlex
- W2092620240
- Cited by
- 444
- References
- 2
- Citations by year
- 2026: 25 · 2025: 34 · 2024: 43 · 2023: 41 · 2022: 36 · 2021: 51 · 2020: 54 · 2019: 43 · 2018: 46 · 2017: 27 · 2016: 27 · 2015: 13
- FWCI
- 27.20
- Type
- journal article
- Language
- en
- Open access
- green
- arxiv.org
- Locations
- IEEE Transactions on Signal Processing (publishedVersion)
- arXiv (Cornell University) (submittedVersion)
- Iowa State University Digital Repository (Iowa State University) (submittedVersion)
- arXiv (Cornell University)
- Funders
- National Science Council (NSC-102-2221-E-011-005-MY3)
- Topics
- Physical Sciences › Engineering › Control and Systems Engineering › Distributed Control Multi-Agent Systems
- Physical Sciences › Computer Science › Signal Processing › Sparse and Compressive Sensing Techniques
- Physical Sciences › Computer Science › Computational Theory and Mathematics › Optimization and Variational Analysis
- Keywords
- consensus optimization, alternating direction method of multipliers, low-complexity algorithms, convergence analysis, convex optimization, large-scale optimization, computational complexity reduction
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