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A Randomized Incremental Subgradient Method for Distributed Optimization in Networked Systems
Abstract
We present an algorithm that generalizes the randomized incremental subgradient method with fixed stepsize due to Nedić and Bertsekas [SIAM J. Optim., 12 (2001), pp. 109–138]. Our novel algorithm is particularly suitable for distributed implementation and execution, and possible applications include distributed optimization, e.g., parameter estimation in networks of tiny wireless sensors. The stochastic component in the algorithm is described by a Markov chain, which can be constructed in a distributed fashion using only local information. We provide a detailed convergence analysis of the proposed algorithm and compare it with existing, both deterministic and randomized, incremental subgradient methods.
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Cites
Distributed optimization in sensor networks
Rabbat, M., & Nowak, R. (2004) · Proceedings of the 3rd international symposium on Information processing in sensor networks · doi:10.1145/984622.984626 · Cited by 901
Cited by
Dual Averaging for Distributed Optimization: Convergence Analysis and Network Scaling
Duchi, J. C., Agarwal, A., & Wainwright, M. J. (2012) · IEEE Transactions on Automatic Control · doi:10.1109/tac.2011.2161027 · Cited by 947
Push-Sum Distributed Dual Averaging for convex optimization
Tsianos, K. I., Lawlor, S., & Rabbat, M. G. (2012) · 2012 IEEE 51st IEEE Conference on Decision and Control (CDC) · doi:10.1109/cdc.2012.6426375 · Cited by 304
Communication-efficient algorithms for statistical optimization
(2013) · Journal of Machine Learning Research · doi:10.5555/2567709.2567769 · Cited by 195
Distributed Strategies for Generating Weight-Balanced and Doubly Stochastic Digraphs
Gharesifard, B., & Cortés, J. (2012) · European Journal of Control · doi:10.3166/ejc.18.539-557 · Cited by 171
Continuous-time distributed convex optimization on weight-balanced digraphs
Gharesifard, B., & Cortes, J. (2012) · 2012 IEEE 51st IEEE Conference on Decision and Control (CDC) · doi:10.1109/cdc.2012.6426897 · Cited by 32
Metadata
- Authors
- Johansson, B., Rabi, M., & Johansson, M.
- Venue
- SIAM Journal on Optimization
- Published
- 2010-01
- Volume
- 20
- Issue
- 3
- Pages
- 1157-1170
- ISSN
- 1052-6234 (ISSN-L)
- 1095-7189
- OpenAlex
- W2049659086
- Cited by
- 336
- References
- 1
- FWCI
- 22.65
- Type
- journal article
- Language
- en
- Open access
- closed
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