330 research outputs found
Distributed Averaging via Lifted Markov Chains
Motivated by applications of distributed linear estimation, distributed
control and distributed optimization, we consider the question of designing
linear iterative algorithms for computing the average of numbers in a network.
Specifically, our interest is in designing such an algorithm with the fastest
rate of convergence given the topological constraints of the network. As the
main result of this paper, we design an algorithm with the fastest possible
rate of convergence using a non-reversible Markov chain on the given network
graph. We construct such a Markov chain by transforming the standard Markov
chain, which is obtained using the Metropolis-Hastings method. We call this
novel transformation pseudo-lifting. We apply our method to graphs with
geometry, or graphs with doubling dimension. Specifically, the convergence time
of our algorithm (equivalently, the mixing time of our Markov chain) is
proportional to the diameter of the network graph and hence optimal. As a
byproduct, our result provides the fastest mixing Markov chain given the
network topological constraints, and should naturally find their applications
in the context of distributed optimization, estimation and control
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