Distributed Stochastic Approximation with Local Projections
Suhail Mohmad Shah, Vivek S. Borkar · SIAM Journal on Optimization · 2018
We propose a distributed version of a stochastic approximation scheme constrained to remain in the intersection of a finite family of convex sets. The projection to the intersection of these sets is also computed in a distributed manner and a “nonlinear gossip” mechanism is employed to blend the projection iterations with the stochastic approximation using multiple time scales.