A Distributed Algorithm for Online Convex Optimization with Time-Varying Coupled Inequality Constraints
2019 (English)In: Proceedings of the IEEE Conference on Decision and Control, Institute of Electrical and Electronics Engineers Inc. , 2019, p. 555-560Conference paper, Published paper (Refereed)
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 constraint functions. A distributed online primal-dual 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. We first derive regret and constraint violation bounds for the algorithm and show how they depend on the stepsize sequences, the accumulated variation of the comparator sequence, the number of agents, and the network connectivity. As a result, we prove that the algorithm achieves sublinear dynamic regret and constraint violation if the accumulated variation of the optimal sequence also grows sublinearly. We also prove that the algorithm achieves sublinear static regret and constraint violation under mild conditions. In addition, smaller bounds on the static regret are achieved when the objective functions are 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 Inc. , 2019. p. 555-560
Keywords [en]
Convex optimization, Constraint functions, Constraint violation, Coupled constraints, Global objective functions, Inequality constraint, Network connectivity, Online convex optimizations, Regularization function, Constraint theory
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:kth:diva-274102DOI: 10.1109/CDC40024.2019.9030264ISI: 000560779000087Scopus ID: 2-s2.0-85082451775OAI: oai:DiVA.org:kth-274102DiVA, id: diva2:1451486
Conference
58th IEEE Conference on Decision and Control, CDC 2019, 11 December 2019 through 13 December 2019
Note
QC 20200702
Part of ISBN 9781728113982
2020-07-022020-07-022024-10-15Bibliographically approved