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Distributed Online Convex Optimization With Time-Varying Coupled Inequality Constraints
KTH, School of Electrical Engineering and Computer Science (EECS), Intelligent systems, Decision and Control Systems (Automatic Control).ORCID iD: 0000-0003-4299-0471
Nanyang Technol Univ, Sch Elect & Elect Engn, Nanyang Ave, Singapore 639798, Singapore..
Nanyang Technol Univ, Sch Elect & Elect Engn, Nanyang Ave, Singapore 639798, Singapore..
KTH, School of Electrical Engineering and Computer Science (EECS), Intelligent systems, Decision and Control Systems (Automatic Control).ORCID iD: 0000-0001-9940-5929
2020 (English)In: IEEE Transactions on Signal Processing, ISSN 1053-587X, E-ISSN 1941-0476, Vol. 68, p. 731-746Article in journal (Refereed) Published
Abstract [en]

This paper considers distributed online optimization with time-varying coupled inequality constraints. The global objective function is composed of local convex cost and regularization functions and the coupled constraint function is the sum of local convex functions. Adistributed online primal-dual dynamic mirror descent algorithm is proposed to solve this problem, where the local cost, regularization, and constraint functions are held privately and revealed only after each time slot. Without assuming Slater's condition, we first derive regret and constraint violation bounds for the algorithm and show how they depend on the stepsize sequences, the accumulated dynamic variation of the comparator sequence, the number of agents, and the network connectivity. As a result, under some natural decreasing stepsize sequences, we prove that the algorithm achieves sublinear dynamic regret and constraint violation if the accumulated dynamic variation of the optimal sequence also grows sublinearly. We also prove that the algorithm achieves sublinear static regret and constraint violation under mild conditions. Assuming Slater's condition, we show that the algorithm achieves smaller bounds on the constraint violation. In addition, smaller bounds on the static regret are achieved when the objective function is strongly convex. Finally, numerical simulations are provided to illustrate the effectiveness of the theoretical results.

Place, publisher, year, edition, pages
Institute of Electrical and Electronics Engineers (IEEE), 2020. Vol. 68, p. 731-746
Keywords [en]
Distributed optimization, dynamic mirror descent, online optimization, time-varying constraints
National Category
Electrical Engineering, Electronic Engineering, Information Engineering
Identifiers
URN: urn:nbn:se:kth:diva-268797DOI: 10.1109/TSP.2020.2964200ISI: 000511378400001Scopus ID: 2-s2.0-85079771660OAI: oai:DiVA.org:kth-268797DiVA, id: diva2:1395183
Note

QC 20200221

Available from: 2020-02-21 Created: 2020-02-21 Last updated: 2022-10-24Bibliographically approved

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Yi, XinleiJohansson, Karl H.

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