3 years ago

Push-Pull Gradient Methods for Distributed Optimization in Networks.

Shi Pu, Wei Shi, Jinming Xu, Angelia Nedić

In this paper, we focus on solving a distributed convex optimization problem in a network, where each agent has its own convex cost function and the goal is to minimize the sum of the agents' cost functions while obeying the network connectivity structure. In order to minimize the sum of the cost functions, we consider new distributed gradient-based methods where each node maintains two estimates, namely, an estimate of the optimal decision variable and an estimate of the gradient for the average of the agents' objective functions. From the viewpoint of an agent, the information about the gradients is pushed to the neighbors, while the information about the decision variable is pulled from the neighbors hence giving the name "push-pull gradient methods". This name is also due to the consideration of the implementation aspect: the push-communication-protocol and the pull-communication-protocol are respectively employed to implement certain steps in the numerical schemes. The methods utilize two different graphs for the information exchange among agents, and as such, unify the algorithms with different types of distributed architecture, including decentralized (peer-to-peer), centralized (master-slave), and semi-centralized (leader-follower) architecture. We show that the proposed algorithms and their many variants converge linearly for strongly convex and smooth objective functions over a network (possibly with unidirectional data links) in both synchronous and asynchronous random-gossip settings. We numerically evaluate our proposed algorithm for both static and time-varying graphs, and find that the algorithms are competitive as compared to other linearly convergent schemes.

Publisher URL: http://arxiv.org/abs/1810.06653

DOI: arXiv:1810.06653v2

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