This work develops effective distributed strategies for the solution of
constrained multi-agent stochastic optimization problems with coupled
parameters across the agents. In this formulation, each agent is influenced by
only a subset of the entries of a global parameter vector or model, and is
subject to convex constraints that are only known locally. Problems of this
type arise in several applications, most notably in disease propagation models,
minimum-cost flow problems, distributed control formulations, and distributed
power system monitoring. This work focuses on stochastic settings, where a
stochastic risk function is associated with each agent and the objective is to
seek the minimizer of the aggregate sum of all risks subject to a set of
constraints. Agents are not aware of the statistical distribution of the data
and, therefore, can only rely on stochastic approximations in their learning
strategies. We derive an effective distributed learning strategy that is able
to track drifts in the underlying parameter model. A detailed performance and
stability analysis is carried out showing that the resulting coupled diffusion
strategy converges at a linear rate to an O(μ)−neighborhood of the true
penalized optimizer
