A Distributed Primal-Dual Algorithm for Bandit Online Convex Optimization with Time-Varying Coupled Inequality ConstraintsShow others and affiliations
2020 (English)In: Proceedings 2020 American Control Conference, ACC 2020, Institute of Electrical and Electronics Engineers (IEEE) , 2020, p. 327-332Conference paper, Published paper (Refereed)
Abstract [en]
This paper considers distributed bandit online optimization with time-varying coupled inequality constraints. The global cost and the coupled constraint functions are the summations of local convex cost and constraint functions, respectively. The local cost and constraint functions are held privately and only at the end of each period the constraint functions are fully revealed, while only the values of cost functions at queried points are revealed, i.e., in a so called bandit manner. A distributed bandit online primal-dual algorithm with two queries for the cost functions per period is proposed. The performance of the algorithm is evaluated using its expected regret, i.e., the expected difference between the outcome of the algorithm and the optimal choice in hindsight, as well as its constraint violation. We show that O(T-c) expected regret and O(T1-c/2) constraint violation are achieved by the proposed algorithm, where T is the total number of iterations and c is an element of [0.5, 1) is a user-defined trade-off parameter. Assuming Slater's condition, we show that O(root T) expected regret and O(root T) constraint violation are achieved. The theoretical results are illustrated by numerical simulations.
Place, publisher, year, edition, pages
Institute of Electrical and Electronics Engineers (IEEE) , 2020. p. 327-332
Series
Proceedings of the American Control Conference, ISSN 0743-1619
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:kth:diva-292032DOI: 10.23919/ACC45564.2020.9147354ISI: 000618079800047Scopus ID: 2-s2.0-85089575529OAI: oai:DiVA.org:kth-292032DiVA, id: diva2:1539507
Conference
2020 American Control Conference, ACC 2020, Denver, CO, USA, July 1-3, 2020
Note
QC 20210324
2021-03-242021-03-242022-06-25Bibliographically approved