arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 1402.6065eess.SYcs.SYmath.OC
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多智能体分布式优化的近似共识ADMM方法

Multi-Agent Distributed Optimization via Inexact Consensus ADMM

National Taiwan University of Science and Technology(台湾科技大学);University of Minnesota(明尼苏达大学);East China Normal University(华东师范大学)

Tsung-Hui Chang, Mingyi Hong, Xiangfeng Wang

AI总结:

本文提出低复杂度算法,通过在ADMM更新中引入近似步骤,显著降低大规模共识ADMM的计算成本,且在凸性假设下保证收敛性。

摘要:

多智能体分布式共识优化问题在许多信号处理应用中出现。最近,交替方向乘子法(ADMM)已被用于解决此类问题。基于ADMM的分布式优化方法相比经典共识子梯度方法具有更快的收敛速度,但计算成本较高,尤其对于结构复杂或高维问题。本文提出低复杂度算法,可将某些大规模问题的共识ADMM总体计算成本降低一个数量级。所提算法的核心是每个ADMM更新中使用近似步骤,使智能体在每次迭代中执行廉价计算。收敛分析显示,在某些凸性假设下,所提方法能良好收敛。数值结果表明,所提算法的计算复杂度显著低于标准ADMM基于的分布式优化方法。

英文摘要:

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.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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