Online Distributed Optimization on Dynamic Networks

This paper presents a distributed optimization scheme over a network of agents in the presence of cost uncertainties and over switching communication topologies. Inspired by recent advances in distributed convex optimization, we propose a distributed algorithm based on a dual sub-gradient averaging. The objective of this algorithm is to minimize a cost function cooperatively. Furthermore, the algorithm changes the weights on the communication links in the network to adapt to varying reliability of neighboring agents. A convergence rate analysis as a function of the underlying network topology is then presented, followed by simulation results for representative classes of sensor networks.Comment: Submitted to The IEEE Transactions on Automatic Control, 201

Optimal Algorithms for Distributed Optimization

In this paper, we study the optimal convergence rate for distributed convex optimization problems in networks. We model the communication restrictions imposed by the network as a set of affine constraints and provide optimal complexity bounds for four different setups, namely: the function F(\xb) \triangleq \sum_{i=1}^{m}f_i(\xb) is strongly convex and smooth, either strongly convex or smooth or just convex. Our results show that Nesterov's accelerated gradient descent on the dual problem can be executed in a distributed manner and obtains the same optimal rates as in the centralized version of the problem (up to constant or logarithmic factors) with an additional cost related to the spectral gap of the interaction matrix. Finally, we discuss some extensions to the proposed setup such as proximal friendly functions, time-varying graphs, improvement of the condition numbers

Distributed Adaptive Newton Methods with Globally Superlinear Convergence

This paper considers the distributed optimization problem over a network where the global objective is to optimize a sum of local functions using only local computation and communication. Since the existing algorithms either adopt a linear consensus mechanism, which converges at best linearly, or assume that each node starts sufficiently close to an optimal solution, they cannot achieve globally superlinear convergence. To break through the linear consensus rate, we propose a finite-time set-consensus method, and then incorporate it into Polyak's adaptive Newton method, leading to our distributed adaptive Newton algorithm (DAN). To avoid transmitting local Hessians, we adopt a low-rank approximation idea to compress the Hessian and design a communication-efficient DAN-LA. Then, the size of transmitted messages in DAN-LA is reduced to $O(p)$ per iteration, where $p$ is the dimension of decision vectors and is the same as the first-order methods. We show that DAN and DAN-LA can globally achieve quadratic and superlinear convergence rates, respectively. Numerical experiments on logistic regression problems are finally conducted to show the advantages over existing methods.Comment: Submitted to IEEE Transactions on Automatic Control. 14 pages, 4 figure

Multi-Dimensional Balanced Graph Partitioning via Projected Gradient Descent

Motivated by performance optimization of large-scale graph processing systems that distribute the graph across multiple machines, we consider the balanced graph partitioning problem. Compared to the previous work, we study the multi-dimensional variant when balance according to multiple weight functions is required. As we demonstrate by experimental evaluation, such multi-dimensional balance is important for achieving performance improvements for typical distributed graph processing workloads. We propose a new scalable technique for the multidimensional balanced graph partitioning problem. The method is based on applying randomized projected gradient descent to a non-convex continuous relaxation of the objective. We show how to implement the new algorithm efficiently in both theory and practice utilizing various approaches for projection. Experiments with large-scale social networks containing up to hundreds of billions of edges indicate that our algorithm has superior performance compared with the state-of-the-art approaches

Distributed Big-Data Optimization via Block-Iterative Convexification and Averaging

In this paper, we study distributed big-data nonconvex optimization in multi-agent networks. We consider the (constrained) minimization of the sum of a smooth (possibly) nonconvex function, i.e., the agents' sum-utility, plus a convex (possibly) nonsmooth regularizer. Our interest is in big-data problems wherein there is a large number of variables to optimize. If treated by means of standard distributed optimization algorithms, these large-scale problems may be intractable, due to the prohibitive local computation and communication burden at each node. We propose a novel distributed solution method whereby at each iteration agents optimize and then communicate (in an uncoordinated fashion) only a subset of their decision variables. To deal with non-convexity of the cost function, the novel scheme hinges on Successive Convex Approximation (SCA) techniques coupled with i) a tracking mechanism instrumental to locally estimate gradient averages; and ii) a novel block-wise consensus-based protocol to perform local block-averaging operations and gradient tacking. Asymptotic convergence to stationary solutions of the nonconvex problem is established. Finally, numerical results show the effectiveness of the proposed algorithm and highlight how the block dimension impacts on the communication overhead and practical convergence speed

Distributed Convex Optimization for Continuous-Time Dynamics with Time-Varying Cost Function

In this paper, a time-varying distributed convex optimization problem is studied for continuous-time multi-agent systems. Control algorithms are designed for the cases of single-integrator and double-integrator dynamics. Two discontinuous algorithms based on the signum function are proposed to solve the problem in each case. Then in the case of double-integrator dynamics, two continuous algorithms based on, respectively, a time-varying and a fixed boundary layer are proposed as continuous approximations of the signum function. Also, to account for inter-agent collision for physical agents, a distributed convex optimization problem with swarm tracking behavior is introduced for both single-integrator and double-integrator dynamics

Distributed Nonconvex Multiagent Optimization Over Time-Varying Networks

We study nonconvex distributed optimization in multiagent networks where the communications between nodes is modeled as a time-varying sequence of arbitrary digraphs. We introduce a novel broadcast-based distributed algorithmic framework for the (constrained) minimization of the sum of a smooth (possibly nonconvex and nonseparable) function, i.e., the agents' sum-utility, plus a convex (possibly nonsmooth and nonseparable) regularizer. The latter is usually employed to enforce some structure in the solution, typically sparsity. The proposed method hinges on Successive Convex Approximation (SCA) techniques coupled with i) a tracking mechanism instrumental to locally estimate the gradients of agents' cost functions; and ii) a novel broadcast protocol to disseminate information and distribute the computation among the agents. Asymptotic convergence to stationary solutions is established. A key feature of the proposed algorithm is that it neither requires the double-stochasticity of the consensus matrices (but only column stochasticity) nor the knowledge of the graph sequence to implement. To the best of our knowledge, the proposed framework is the first broadcast-based distributed algorithm for convex and nonconvex constrained optimization over arbitrary, time-varying digraphs. Numerical results show that our algorithm outperforms current schemes on both convex and nonconvex problems.Comment: Copyright 2001 SS&C. Published in the Proceedings of the 50th annual Asilomar conference on signals, systems, and computers, Nov. 6-9, 2016, CA, US

Distributed Stochastic Approximation: Weak Convergence and Network Design

This paper studies distributed stochastic approximation algorithms based on broadcast gossip on communication networks represented by digraphs. Weak convergence of these algorithms is proved, and an associated ordinary differential equation (ODE) is formulated connecting convergence points with local objective functions and network properties. Using these results, a methodology is proposed for network design, aimed at achieving the desired asymptotic behavior at consensus. Convergence rate of the algorithm is also analyzed and further improved using an attached stochastic differential equation. Simulation results illustrate the theoretical concepts

Stochastic Optimization from Distributed, Streaming Data in Rate-limited Networks

Motivated by machine learning applications in networks of sensors, internet-of-things (IoT) devices, and autonomous agents, we propose techniques for distributed stochastic convex learning from high-rate data streams. The setup involves a network of nodes---each one of which has a stream of data arriving at a constant rate---that solve a stochastic convex optimization problem by collaborating with each other over rate-limited communication links. To this end, we present and analyze two algorithms---termed distributed stochastic approximation mirror descent (D-SAMD) and accelerated distributed stochastic approximation mirror descent (AD-SAMD)---that are based on two stochastic variants of mirror descent and in which nodes collaborate via approximate averaging of the local, noisy subgradients using distributed consensus. Our main contributions are (i) bounds on the convergence rates of D-SAMD and AD-SAMD in terms of the number of nodes, network topology, and ratio of the data streaming and communication rates, and (ii) sufficient conditions for order-optimum convergence of these algorithms. In particular, we show that for sufficiently well-connected networks, distributed learning schemes can obtain order-optimum convergence even if the communications rate is small. Further we find that the use of accelerated methods significantly enlarges the regime in which order-optimum convergence is achieved; this is in contrast to the centralized setting, where accelerated methods usually offer only a modest improvement. Finally, we demonstrate the effectiveness of the proposed algorithms using numerical experiments.Comment: 16 pages, 6 figures; Accepted for publication in IEEE Transactions on Signal and Information Processing over Network

Stochastic Gradient-Push for Strongly Convex Functions on Time-Varying Directed Graphs

We investigate the convergence rate of the recently proposed subgradient-push method for distributed optimization over time-varying directed graphs. The subgradient-push method can be implemented in a distributed way without requiring knowledge of either the number of agents or the graph sequence; each node is only required to know its out-degree at each time. Our main result is a convergence rate of $O \left((\ln t)/t \right)$ for strongly convex functions with Lipschitz gradients even if only stochastic gradient samples are available; this is asymptotically faster than the $O \left((\ln t)/\sqrt{t} \right)$ rate previously known for (general) convex functions