Distributed Alternating Direction Method of Multipliers
We consider a network of agents that are cooperatively solving a global unconstrained optimization problem, where the objective function is the sum of privately known local objective functions of the agents. Recent literature on distributed optimization methods for solving this problem focused on su...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Article |
| Language: | en_US |
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Institute of Electrical and Electronics Engineers (IEEE)
2014
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| Online Access: | http://hdl.handle.net/1721.1/90489 https://orcid.org/0000-0002-1827-1285 |
| _version_ | 1826191753630187520 |
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| author | Wei, Ermin Ozdaglar, Asuman E. |
| author2 | Massachusetts Institute of Technology. Department of Electrical Engineering and Computer Science |
| author_facet | Massachusetts Institute of Technology. Department of Electrical Engineering and Computer Science Wei, Ermin Ozdaglar, Asuman E. |
| author_sort | Wei, Ermin |
| collection | MIT |
| description | We consider a network of agents that are cooperatively solving a global unconstrained optimization problem, where the objective function is the sum of privately known local objective functions of the agents. Recent literature on distributed optimization methods for solving this problem focused on subgradient based methods, which typically converge at the rate O (1/√k), where k is the number of iterations. In this paper, k we introduce a new distributed optimization algorithm based on Alternating Direction Method of Multipliers (ADMM), which is a classical method for sequentially decomposing optimization problems with coupled constraints. We show that this algorithm converges at the rate O (1/k). |
| first_indexed | 2024-09-23T09:00:46Z |
| format | Article |
| id | mit-1721.1/90489 |
| institution | Massachusetts Institute of Technology |
| language | en_US |
| last_indexed | 2024-09-23T09:00:46Z |
| publishDate | 2014 |
| publisher | Institute of Electrical and Electronics Engineers (IEEE) |
| record_format | dspace |
| spelling | mit-1721.1/904892022-09-26T09:48:47Z Distributed Alternating Direction Method of Multipliers Wei, Ermin Ozdaglar, Asuman E. Massachusetts Institute of Technology. Department of Electrical Engineering and Computer Science Wei, Ermin Ozdaglar, Asuman E. We consider a network of agents that are cooperatively solving a global unconstrained optimization problem, where the objective function is the sum of privately known local objective functions of the agents. Recent literature on distributed optimization methods for solving this problem focused on subgradient based methods, which typically converge at the rate O (1/√k), where k is the number of iterations. In this paper, k we introduce a new distributed optimization algorithm based on Alternating Direction Method of Multipliers (ADMM), which is a classical method for sequentially decomposing optimization problems with coupled constraints. We show that this algorithm converges at the rate O (1/k). National Science Foundation (U.S.) (Career Grant DMI-0545910) United States. Air Force Office of Scientific Research. Multidisciplinary University Research Initiative (FA9550-09-1-0538) 2014-09-30T18:00:20Z 2014-09-30T18:00:20Z 2012-12 Article http://purl.org/eprint/type/ConferencePaper 978-1-4673-2066-5 978-1-4673-2065-8 978-1-4673-2063-4 978-1-4673-2064-1 0743-1546 http://hdl.handle.net/1721.1/90489 Wei, Ermin, and Asuman Ozdaglar. “Distributed Alternating Direction Method of Multipliers.” 2012 IEEE 51st IEEE Conference on Decision and Control (CDC) (December 2012). https://orcid.org/0000-0002-1827-1285 en_US http://dx.doi.org/10.1109/CDC.2012.6425904 Proceedings of the 2012 51st IEEE Conference on Decision and Control (CDC) Creative Commons Attribution-Noncommercial-Share Alike http://creativecommons.org/licenses/by-nc-sa/4.0/ application/pdf Institute of Electrical and Electronics Engineers (IEEE) MIT web domain |
| spellingShingle | Wei, Ermin Ozdaglar, Asuman E. Distributed Alternating Direction Method of Multipliers |
| title | Distributed Alternating Direction Method of Multipliers |
| title_full | Distributed Alternating Direction Method of Multipliers |
| title_fullStr | Distributed Alternating Direction Method of Multipliers |
| title_full_unstemmed | Distributed Alternating Direction Method of Multipliers |
| title_short | Distributed Alternating Direction Method of Multipliers |
| title_sort | distributed alternating direction method of multipliers |
| url | http://hdl.handle.net/1721.1/90489 https://orcid.org/0000-0002-1827-1285 |
| work_keys_str_mv | AT weiermin distributedalternatingdirectionmethodofmultipliers AT ozdaglarasumane distributedalternatingdirectionmethodofmultipliers |