Name
Title | ||
|---|---|---|
A Distributed Algorithm for Online Convex Optimization with Time-Varying Coupled Inequality Constraints |
Abstract | ||
|---|---|---|
This paper considers distributed online optimization with time-varying coupled inequality constraints. The global objective function is composed of local convex cost and regularization functions and the coupled constraint function is the sum of local convex constraint functions. A distributed online primal-dual mirror descent algorithm is proposed to solve this problem, where the local cost, regularization, and constraint functions are held privately and revealed only after each time slot. We first derive regret and constraint violation bounds for the algorithm and show how they depend on the stepsize sequences, the accumulated variation of the comparator sequence, the number of agents, and the network connectivity. As a result, we prove that the algorithm achieves sublinear dynamic regret and constraint violation if the accumulated variation of the optimal sequence also grows sublinearly. We also prove that the algorithm achieves sublinear static regret and constraint violation under mild conditions. In addition, smaller bounds on the static regret are achieved when the objective functions are strongly convex. Finally, numerical simulations are provided to illustrate the effectiveness of the theoretical results. |
Year | DOI | Venue |
|---|---|---|
2019 | 10.1109/CDC40024.2019.9030264 | 2019 IEEE 58th Conference on Decision and Control (CDC) |
Keywords | DocType | ISSN |
numerical simulations,comparator sequence,objective functions,optimal sequence,sublinear dynamic regret,accumulated variation,primal-dual mirror descent algorithm,local convex constraint functions,coupled constraint function,local convex cost,global objective function,time-varying coupled inequality constraints,online convex optimization,distributed algorithm | Conference | 0743-1546 |
ISBN | Citations | PageRank |
978-1-7281-1399-9 | 1 | 0.40 |
References | Authors | |
10 | 4 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Xinlei Yi | 1 | 116 | 9.37 |
| Xiuxian Li | 2 | 16 | 3.66 |
| Lihua Xie | 3 | 5686 | 405.63 |
| Karl Henrik Johansson | 4 | 3996 | 322.75 |