Finite‐Time Average Consensus Based Approach for Distributed Convex Optimization
Wenlong Ma, Minyue Fu, Peng Cui, Huanshui Zhang, Zhipeng Li · Asian Journal of Control · 2018
Abstract In this paper, we consider a distributed convex optimization problem where the objective function is an average combination of individual objective function in multi‐agent systems. We propose a novel Newton Consensus method as a distributed algorithm to address the problem. This method utilises the efficient finite‐time average consensus method as an information fusion tool to construct the exact Newtonian global gradient direction. Under suitable assumptions, this strategy can be regarded as a distributed implementation of the classical standard Newton method and eventually has a quadratic convergence rate. The numerical simulation and comparison experiment show the superiority of the algorithm in convergence speed and performance.