Decentralized Optimization Over the Stiefel Manifold by an Approximate Augmented Lagrangian Function
Lei Wang, Xin Liu · IEEE Transactions on Signal Processing · 2022
In this paper, we focus on the decentralized optimization problem over the Stiefel manifold, which is defined on a connected network of$d$agents. The objective is an average of$d$local functions, and each function is privately held by an agent and encodes its data. The agents can only communicate with their neighbors in a collaborative effort to solve this problem. In existing methods, multiple rounds of communications are required to guarantee the convergence, giving rise to high communication costs. In contrast, this paper proposes a decentralized algorithm, called DESTINY, which only invokes a single round of communications per iteration. DESTINY combines gradient tracking techniques with a novel approximate augmented Lagrangian function. The global convergence to stationary points is rigorously established. Comprehensive numerical experiments demonstrate that DESTINY has a strong potential to deliver a cutting-edge performance in solving a variety of testing problems.