Fast, accurate second order methods for network optimization
Rasul Tutunov, Haitham Bou Ammar, Ali Jadbabaie · 2015
Dual descent methods are commonly used to solve network flow optimization problems, since their implementation can be distributed over the network. These algorithms, however, often exhibit slow convergence rates. Approximate Newton methods which compute descent directions locally have been proposed as alternatives to accelerate the convergence rates of conventional dual descent. The effectiveness of these methods, is limited by the accuracy of such approximations. In this paper, we propose an efficient and accurate distributed second order method for network flow problems. Our approach utilizes the sparsity pattern of the dual Hessian to approximate the the Newton direction using a novel distributed solver for symmetric diagonally dominant linear equations. We analyze the properties of the proposed algorithm and show that superlinear convergence within a neighborhood of the optimal value. We finally demonstrate the effectiveness of the approach in a set of experiments.