An Adaptive Primal-Dual Subgradient Algorithm for Online Distributed Constrained Optimization
Deming Yuan, Daniel W. C. Ho, Guo‐Ping Jiang · IEEE Transactions on Cybernetics · 2017
In this paper, we consider the problem of solving distributed constrained optimization over a multiagent network that consists of multiple interacting nodes in online setting, where the objective functions of nodes are time-varying and the constraint set is characterized by an inequality. Through introducing a regularized convex-concave function, we present a consensus-based adaptive primal-dual subgradient algorithm that removes the need for knowing the total number of iterations in advance. We show that the proposed algorithm attains an [where ] regret bound and an bound on the violation of constraints; in addition, we show an improvement to an regret bound when the objective functions are strongly convex. The proposed algorithm allows a novel tradeoffs between the regret and the violation of constraints. Finally, a numerical example is provided to illustrate the effectiveness of the algorithm.