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Multidimensional Newton-Raphson consensus for distributed convex optimization

机译:多维Newton-Raphson共识用于分布式凸优化

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In this work we consider a multidimensional distributed optimization technique that is suitable for multi-agents systems subject to limited communication connectivity. In particular, we consider a convex unconstrained additive problem, i.e. a case where the global convex unconstrained multidimensional cost function is given by the sum of local cost functions available only to the specific owning agents. We show how, by exploiting the separation of time-scales principle, the multidimensional consensus-based strategy approximates a Newton-Raphson descent algorithm. We propose two alternative optimization strategies corresponding to approximations of the main procedure. These approximations introduce tradeoffs between the required communication bandwidth and the convergence speed/accuracy of the results. We provide analytical proofs of convergence and numerical simulations supporting the intuitions developed through the paper.
机译:在这项工作中,我们考虑了一种多维分布式优化技术,该技术适用于受通信连接受限的多主体系统。特别是,我们考虑凸无约束加性问题,即全局凸无约束多维成本函数由仅特定拥有者可用的局部成本函数之和给出的情况。我们展示了如何通过利用时间尺度原理的分离,基于多维共识的策略近似牛顿-拉夫森下降算法。我们提出了两种与主过程近似相对应的优化策略。这些近似值在所需的通信带宽和结果的收敛速度/准确性之间进行了折衷。我们提供收敛性的分析证明和数值模拟,以支持通过本文开发的直觉。

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