A cooperative conjugate gradient method for linear systems permitting multithread implementation of low complexity

This paper proposes a generalization of the conjugate gradient (CG) method used to solve the equation $Ax=b$ for a symmetric positive definite matrix $A$ of large size $n$. The generalization consists of permitting the scalar control parameters (= stepsizes in gradient and conjugate gradient directions) to be replaced by matrices, so that multiple descent and conjugate directions are updated simultaneously. Implementation involves the use of multiple agents or threads and is referred to as cooperative CG (cCG), in which the cooperation between agents resides in the fact that the calculation of each entry of the control parameter matrix now involves information that comes from the other agents. For a sufficiently large dimension $n$, the use of an optimal number of cores gives the result that the multithread implementation has worst case complexity $O(n^{2+1/3})$ in exact arithmetic. Numerical experiments, that illustrate the interest of theoretical results, are carried out on a multicore computer.Comment: Expanded version of manuscript submitted to the IEEE-CDC 2012 (Conference on Decision and Control

Cooperative Convex Optimization in Networked Systems: Augmented Lagrangian Algorithms with Directed Gossip Communication

We study distributed optimization in networked systems, where nodes cooperate to find the optimal quantity of common interest, x=x^\star. The objective function of the corresponding optimization problem is the sum of private (known only by a node,) convex, nodes' objectives and each node imposes a private convex constraint on the allowed values of x. We solve this problem for generic connected network topologies with asymmetric random link failures with a novel distributed, decentralized algorithm. We refer to this algorithm as AL-G (augmented Lagrangian gossiping,) and to its variants as AL-MG (augmented Lagrangian multi neighbor gossiping) and AL-BG (augmented Lagrangian broadcast gossiping.) The AL-G algorithm is based on the augmented Lagrangian dual function. Dual variables are updated by the standard method of multipliers, at a slow time scale. To update the primal variables, we propose a novel, Gauss-Seidel type, randomized algorithm, at a fast time scale. AL-G uses unidirectional gossip communication, only between immediate neighbors in the network and is resilient to random link failures. For networks with reliable communication (i.e., no failures,) the simplified, AL-BG (augmented Lagrangian broadcast gossiping) algorithm reduces communication, computation and data storage cost. We prove convergence for all proposed algorithms and demonstrate by simulations the effectiveness on two applications: l_1-regularized logistic regression for classification and cooperative spectrum sensing for cognitive radio networks.Comment: 28 pages, journal; revise

Distributed Maximum Likelihood Sensor Network Localization

We propose a class of convex relaxations to solve the sensor network localization problem, based on a maximum likelihood (ML) formulation. This class, as well as the tightness of the relaxations, depends on the noise probability density function (PDF) of the collected measurements. We derive a computational efficient edge-based version of this ML convex relaxation class and we design a distributed algorithm that enables the sensor nodes to solve these edge-based convex programs locally by communicating only with their close neighbors. This algorithm relies on the alternating direction method of multipliers (ADMM), it converges to the centralized solution, it can run asynchronously, and it is computation error-resilient. Finally, we compare our proposed distributed scheme with other available methods, both analytically and numerically, and we argue the added value of ADMM, especially for large-scale networks

The finite element machine: An experiment in parallel processing

The finite element machine is a prototype computer designed to support parallel solutions to structural analysis problems. The hardware architecture and support software for the machine, initial solution algorithms and test applications, and preliminary results are described