Discrete-Time Algorithms for Distributed Constrained Convex Optimization With Linear Convergence Rates

IEEE Trans Cybern. 2022 Jun;52(6):4874-4885. doi: 10.1109/TCYB.2020.3022240. Epub 2022 Jun 16.

Abstract

In this article, the constrained optimization problem with its global objective function being the sum of convex local cost functions and the constraint being a closed convex set is researched. The aim of this study is to solve the researched problem in a distributed manner, that is, using only local computations and local information exchanges. Toward this end, two gradient-tracking-based distributed optimization algorithms are designed for the considered problem over weight-balanced and weight-unbalanced graphs, respectively. Since the classical projection method is unsuitable to handle the closed convex set constraint under the gradient-tracking framework, a new indirect projection method is employed in this article to deal with the involved closed convex set constraint. Furthermore, two time scales are introduced to complete the convergence analyses. In addition, under the condition that all local cost functions are strongly convex and L -smooth, it is proved that the algorithms with well-selected fixed step sizes have linear convergence rates.