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Decentralized Approximate Newton Methods for Convex Optimization on Networked Systems
Shanghai Lixin Univ Accounting & Finance, Sch Stat & Math, Shanghai 201209, Peoples R China..
Tongji Univ, Coll Elect & Informat Engn, Shanghai 201804, Peoples R China..
KTH, School of Electrical Engineering and Computer Science (EECS), Intelligent systems, Decision and Control Systems (Automatic Control).
ShanghaiTech Univ, Sch Informat Sci & Technol, Shanghai 201210, Peoples R China..
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2021 (English)In: IEEE Transactions on Control of Network Systems, E-ISSN 2325-5870, Vol. 8, no 3, p. 1489-1500Article in journal (Refereed) Published
Abstract [en]

In this article, a class of decentralized approximate Newton (DEAN) methods for addressing convex optimization on a networked system is developed, where nodes in the networked system seek a consensus that minimizes the sum of their individual objective functions through local interactions only. The proposed DEAN algorithms allow each node to repeatedly perform a local approximate Newton update, which leverages tracking the global Newton direction and dissipating the discrepancies among the nodes. Under less restrictive problem assumptions in comparison with most existing second-order methods, the DEAN algorithms enable the nodes to reach a consensus that can be arbitrarily close to the optimum. Moreover, for a particular DEAN algorithm, the nodes linearly converge to a common suboptimal solution with an explicit error bound. Finally, simulations demonstrate the competitive performance of DEAN in convergence speed, accuracy, and efficiency.

Place, publisher, year, edition, pages
Institute of Electrical and Electronics Engineers (IEEE) , 2021. Vol. 8, no 3, p. 1489-1500
Keywords [en]
Distributed optimization, network optimization, second-order methods
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:kth:diva-303362DOI: 10.1109/TCNS.2021.3070663ISI: 000696669000040Scopus ID: 2-s2.0-85103792119OAI: oai:DiVA.org:kth-303362DiVA, id: diva2:1603501
Note

QC 20211015

Available from: 2021-10-15 Created: 2021-10-15 Last updated: 2022-06-25Bibliographically approved

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Wu, Xuyang

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