Distributed approximate Newton algorithms and weight design for constrained optimization

• Autores: Tor Anderson, Chin-Yao Chang, Sonia Martínez
• Localización: Automatica: A journal of IFAC the International Federation of Automatic Control, ISSN 0005-1098, Nº. 109, 2019
• Idioma: inglés
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• Resumen

  • Motivated by economic dispatch and linearly-constrained resource allocation problems, this paper proposes a class of novel distributedapprox − Newton algorithms that approximate the standard Newton optimization method. We first develop the notion of an optimal edge weighting for the communication graph over which agents implement the second-order algorithm, and propose a convex approximation for the nonconvex weight design problem. We next build on the optimal weight design to develop a discrete distributed approx-Newton algorithm which converges linearly to the optimal solution for economic dispatch problems with unknown cost functions and relaxed local box constraints. For the full box-constrained problem, we develop a continuous distributed approx-Newton algorithm which is inspired by first-order saddle-point methods and rigorously prove its convergence to the primal and dual optimizers. A main property of each of these distributed algorithms is that they only require agents to exchange constant-size communication messages, which lends itself to scalable implementations. Simulations demonstrate that the distributedapprox − Newton algorithms with our weight design have superior convergence properties compared to existing weighting strategies for first-order saddle-point and gradient descent methods.