A Finite-Time Cutting Plane Algorithm for Distributed Mixed Integer Linear Programming

Many problems of interest for cyber-physical network systems can be formulated as Mixed Integer Linear Programs in which the constraints are distributed among the agents. In this paper we propose a distributed algorithm to solve this class of optimization problems in a peer-to-peer network with no coordinator and with limited computation and communication capabilities. In the proposed algorithm, at each communication round, agents solve locally a small LP, generate suitable cutting planes, namely intersection cuts and cost-based cuts, and communicate a fixed number of active constraints, i.e., a candidate optimal basis. We prove that, if the cost is integer, the algorithm converges to the lexicographically minimal optimal solution in a finite number of communication rounds. Finally, through numerical computations, we analyze the algorithm convergence as a function of the network size.Comment: 6 pages, 3 figure

Primal Recovery from Consensus-Based Dual Decomposition for Distributed Convex Optimization

Dual decomposition has been successfully employed in a variety of distributed convex optimization problems solved by a network of computing and communicating nodes. Often, when the cost function is separable but the constraints are coupled, the dual decomposition scheme involves local parallel subgradient calculations and a global subgradient update performed by a master node. In this paper, we propose a consensus-based dual decomposition to remove the need for such a master node and still enable the computing nodes to generate an approximate dual solution for the underlying convex optimization problem. In addition, we provide a primal recovery mechanism to allow the nodes to have access to approximate near-optimal primal solutions. Our scheme is based on a constant stepsize choice and the dual and primal objective convergence are achieved up to a bounded error floor dependent on the stepsize and on the number of consensus steps among the nodes

A Distributed Newton Method for Network Utility Maximization

Most existing work uses dual decomposition and subgradient methods to solve Network Utility Maximization (NUM) problems in a distributed manner, which suffer from slow rate of convergence properties. This work develops an alternative distributed Newton-type fast converging algorithm for solving network utility maximization problems with self-concordant utility functions. By using novel matrix splitting techniques, both primal and dual updates for the Newton step can be computed using iterative schemes in a decentralized manner with limited information exchange. Similarly, the stepsize can be obtained via an iterative consensus-based averaging scheme. We show that even when the Newton direction and the stepsize in our method are computed within some error (due to finite truncation of the iterative schemes), the resulting objective function value still converges superlinearly to an explicitly characterized error neighborhood. Simulation results demonstrate significant convergence rate improvement of our algorithm relative to the existing subgradient methods based on dual decomposition.Comment: 27 pages, 4 figures, LIDS report, submitted to CDC 201