This paper explores the fundamental properties of distributed minimization of a sum of functions with each function only known to one node, and a pre-specified level of node knowledge and computational capacity. We define the optimization information each node receives from its objective function, the neighboring information each node receives from its neighbors, and the computational capacity each node can take advantage of in controlling its state. It is proven that there exist a neighboring information way and a control law that guarantee global optimal consensus if and only if the solution sets of the local objective functions admit a nonempty intersection set for fixed strongly connected graphs. Then we show that for any tolerated error, we can find a control law that guarantees global optimal consensus within this error for fixed, bidirectional, and connected graphs under mild conditions. For time-varying graphs, we show that optimal consensus can always be achieved as long as the graph is uniformly jointly strongly connected and the nonempty intersection condition holds. The results illustrate that nonempty intersection for the local optimal solution sets is a critical condition for successful distributed optimization for a large class of algorithms.
Dynamical system solutions to distributed optimization problem have been considered for more than fifty years. The Arrow-Hurwicz-Uzawa flow was shown to converge to the set of saddle points for a constrained convex optimization problem @cite_20 . In @cite_0 , a simple and elegant continuous-time protocol was presented to solve linear programming problems. More recently, in @cite_23 , a continuous-time solution having second-order node dynamics was proposed for solving distributed optimization problems for fixed bidirectional graphs. In @cite_37 , a smooth vector field was shown to be able to drive the system trajectory to converge to the saddle point of the Lagrangian of a convex and constrained optimization problem. In @cite_31 , a network of first-order dynamical system was proposed to solve convex intersection computation problems with directed time-varying communication graphs. Besides optimization, a continuous-time interpretation to discrete-time algorithms was discussed for recursive stochastic algorithms in @cite_32 .
@cite_37 @cite_32 @cite_0 @cite_23 @cite_31 @cite_20
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In this paper, multi-agent systems minimizing a sum of objective functions, where each component is only known to a particular node, is considered for continuous-time dynamics with time-varying interconnection topologies. Assuming that each node can observe a convex solution set of its optimization component, and the intersection of all such sets is nonempty, the considered optimization problem is converted to an intersection computation problem. By a simple distributed control rule, the considered multi-agent system with continuous-time dynamics achieves not only a consensus, but also an optimal agreement within the optimal solution set of the overall optimization objective. Directed and bidirectional communications are studied, respectively, and connectivity conditions are given to ensure a global optimal consensus. In this way, the corresponding intersection computation problem is solved by the proposed decentralized continuous-time algorithm. We establish several important properties of the distance functions with respect to the global optimal solution set and a class of invariant sets with the help of convex and non-smooth analysis. In Stolyar (Queueing Systems 50 (2005) 401---457) a dynamic control strategy, called greedy primal-dual (GPD) algorithm, was introduced for the problem of maximizing queueing network utility subject to stability of the queues, and was proved to be (asymptotically) optimal. (The network utility is a concave function of the average rates at which the network generates several "commodities.") Underlying the control problem of Stolyar (Queueing Systems 50 (2005) 401---457) is a convex optimization problem subject to a set of linear constraints. In this paper we introduce a generalized GPD algorithm, which applies to the network control problem with additional convex (possibly non-linear) constraints on the average commodity rates. The underlying optimization problem in this case is a convex problem subject to convex constraints. We prove asymptotic optimality of the generalized GPD algorithm. We illustrate key features and applications of the algorithm on simple examples. We study nonconvex distributed optimization in multiagent networks where the communications between nodes is modeled as a time-varying sequence of arbitrary digraphs. We introduce a novel broadcast-based distributed algorithmic framework for the (constrained) minimization of the sum of a smooth (possibly nonconvex and nonseparable) function, i.e., the agents' sum-utility, plus a convex (possibly nonsmooth and nonseparable) regularizer. The latter is usually employed to enforce some structure in the solution, typically sparsity. The proposed method hinges on Successive Convex Approximation (SCA) techniques coupled with i) a tracking mechanism instrumental to locally estimate the gradients of agents' cost functions; and ii) a novel broadcast protocol to disseminate information and distribute the computation among the agents. Asymptotic convergence to stationary solutions is established. A key feature of the proposed algorithm is that it neither requires the double-stochasticity of the consensus matrices (but only column stochasticity) nor the knowledge of the graph sequence to implement. To the best of our knowledge, the proposed framework is the first broadcast-based distributed algorithm for convex and nonconvex constrained optimization over arbitrary, time-varying digraphs. Numerical results show that our algorithm outperforms current schemes on both convex and nonconvex problems. In this paper, we formulate and solve a randomized optimal consensus problem for multi-agent systems with stochastically time-varying interconnection topology. The considered multi-agent system with a simple randomized iterating rule achieves an almost sure consensus meanwhile solving the optimization problem min"z"@?"R"^"[email protected]?"i"="1^nf"i(z), in which the optimal solution set of objective function f"i can only be observed by agent i itself. At each time step, simply determined by a Bernoulli trial, each agent independently and randomly chooses either taking an average among its neighbor set, or projecting onto the optimal solution set of its own optimization component. Both directed and bidirectional communication graphs are studied. Connectivity conditions are proposed to guarantee an optimal consensus almost surely with proper convexity and intersection assumptions. The convergence analysis is carried out using convex analysis. We compare the randomized algorithm with the deterministic one via a numerical example. The results illustrate that a group of autonomous agents can reach an optimal opinion by each node simply making a randomized trade-off between following its neighbors or sticking to its own opinion at each time step. This paper studies joint beamforming and power control in a coordinated multicell downlink system that serves multiple users per cell to maximize the minimum weighted signal-to-interference-plus-noise ratio. The optimal solution and distributed algorithm with geometrically fast convergence rate are derived by employing the nonlinear Perron-Frobenius theory and the multicell network duality. The iterative algorithm, though operating in a distributed manner, still requires instantaneous power update within the coordinated cluster through the backhaul. The backhaul information exchange and message passing may become prohibitive with increasing number of transmit antennas and increasing number of users. In order to derive asymptotically optimal solution, random matrix theory is leveraged to design a distributed algorithm that only requires statistical information. The advantage of our approach is that there is no instantaneous power update through backhaul. Moreover, by using nonlinear Perron-Frobenius theory and random matrix theory, an effective primal network and an effective dual network are proposed to characterize and interpret the asymptotic solution. In this note, we study a distributed coordinated tracking problem for multiple networked Euler-Lagrange systems. The objective is for a team of followers modeled by full-actuated Euler-Lagrange equations to track a dynamic leader whose vector of generalized coordinates is time varying under the constraints that the leader is a neighbor of only a subset of the followers and the followers have only local interaction. We consider two cases: i) The leader has a constant vector of generalized coordinate derivatives, and ii) The leader has a varying vector of generalized coordinate derivatives. In the first case, we propose a distributed continuous estimator and an adaptive control law to account for parametric uncertainties. In the second case, we propose a model-independent sliding mode control algorithm. Simulation results on multiple networked two-link revolute joint arms are provided to show the effectiveness of the proposed control algorithms. The focus of this paper is the development and analysis of distributed algorithms for solving convex optimization problems that are defined over networks. Such network-structured optimization problems arise in a variety of application domains within the information sciences and engineering. For instance, problems such as multi-agent coordination, distributed tracking and localization, estimation problems in sensor networks and packet routing are all naturally cast as distributed convex minimization [2], [11], [10], [16], [20]. Common to these problems is the necessity for completely decentralized computation that is locally light — so as to avoid overburdening small sensors or flooding busy networks — and robust to periodic link or node failures. As a second example, data sets that are too large to be processed quickly by any single processor present related challenges. A canonical example that arises in statistical machine learning is the problem of minimizing a loss function averaged over a large dataset (e.g., optimization in support vector machines [5]). With terabytes of data, it is desirable to assign smaller subsets of the data to different processors, and the processors must communicate to find parameters that minimize the loss over the entire dataset. However, the communication should be efficient enough that network latencies do not offset computational gains. We study nonconvex distributed optimization in multiagent networks with time-varying (nonsymmetric) connectivity. We introduce the first algorithmic framework for the distributed minimization of the sum of a smooth (possibly nonconvex and nonseparable) function—the agents’ sum-utility—plus a convex (possibly nonsmooth and nonseparable) regularizer. The latter is usually employed to enforce some structure in the solution, typically sparsity. The proposed method hinges on successive convex approximation techniques while leveraging dynamic consensus as a mechanism to distribute the computation among the agents: each agent first solves (possibly inexactly) a local convex approximation of the nonconvex original problem, and then performs local averaging operations. Asymptotic convergence to (stationary) solutions of the nonconvex problem is established. Our algorithmic framework is then customized to a variety of convex and nonconvex problems in several fields, including signal processing, communications, networking, and machine learning. Numerical results show that the new method compares favorably to existing distributed algorithms on both convex and nonconvex problems. Wireless systems comprised of rechargeable nodes have a significantly prolonged lifetime and are sustainable. A distinct characteristic of these systems is the fact that the nodes can harvest energy throughout the duration in which communication takes place. As such, transmission policies of the nodes need to adapt to these harvested energy arrivals. In this paper, we consider optimization of point-to-point data transmission with an energy harvesting transmitter which has a limited battery capacity, communicating in a wireless fading channel. We consider two objectives: maximizing the throughput by a deadline, and minimizing the transmission completion time of the communication session. We optimize these objectives by controlling the time sequence of transmit powers subject to energy storage capacity and causality constraints. We, first, study optimal offline policies. We introduce a directional water-filling algorithm which provides a simple and concise interpretation of the necessary optimality conditions. We show the optimality of an adaptive directional water-filling algorithm for the throughput maximization problem. We solve the transmission completion time minimization problem by utilizing its equivalence to its throughput maximization counterpart. Next, we consider online policies. We use stochastic dynamic programming to solve for the optimal online policy that maximizes the average number of bits delivered by a deadline under stochastic fading and energy arrival processes with causal channel state feedback. We also propose near-optimal policies with reduced complexity, and numerically study their performances along with the performances of the offline and online optimal policies under various different configurations. Aiming at solving large-scale optimization problems, this paper studies distributed optimization methods based on the alternating direction method of multipliers (ADMM). By formulating the optimization problem as a consensus problem, the ADMM can be used to solve the consensus problem in a fully parallel fashion over a computer network with a star topology. However, traditional synchronized computation does not scale well with the problem size, as the speed of the algorithm is limited by the slowest workers. This is particularly true in a heterogeneous network where the computing nodes experience different computation and communication delays. In this paper, we propose an asynchronous distributed ADMM (AD-ADMM), which can effectively improve the time efficiency of distributed optimization. Our main interest lies in analyzing the convergence conditions of the AD-ADMM, under the popular partially asynchronous model, which is defined based on a maximum tolerable delay of the network. Specifically, by considering general and possibly non-convex cost functions, we show that the AD-ADMM is guaranteed to converge to the set of Karush–Kuhn–Tucker (KKT) points as long as the algorithm parameters are chosen appropriately according to the network delay. We further illustrate that the asynchrony of the ADMM has to be handled with care, as slightly modifying the implementation of the AD-ADMM can jeopardize the algorithm convergence, even under the standard convex setting. One central issue in practically deploying network coding is the adaptive and economic allocation of network resource. We cast this as an optimization, where the net-utility-the difference between a utility derived from the attainable multicast throughput and the total cost of resource provisioning-is maximized. By employing the MAX of flows characterization of the admissible rate region for multicasting, this paper gives a novel reformulation of the optimization problem, which has a separable structure. The Lagrangian relaxation method is applied to decompose the problem into subproblems involving one destination each. Our specific formulation of the primal problem results in two key properties. First, the resulting subproblem after decomposition amounts to the problem of finding a shortest path from the source to each destination. Second, assuming the net-utility function is strictly concave, our proposed method enables a near-optimal primal variable to be uniquely recovered from a near-optimal dual variable. A numerical robustness analysis of the primal recovery method is also conducted. For ill-conditioned problems that arise, for instance, when the cost functions are linear, we propose to use the proximal method, which solves a sequence of well-conditioned problems obtained from the original problem by adding quadratic regularization terms. Furthermore, the simulation results confirm the numerical robustness of the proposed algorithms. Finally, the proximal method and the dual subgradient method can be naturally extended to provide an effective solution for applications with multiple multicast sessions We address the minimum-energy broadcast problem under the assumption that nodes beyond the nominal range of a transmitter can collect the energy of unreliably received overheard signals. As a message is forwarded through the network, a node will have multiple opportunities to reliably receive the message by collecting energy during each retransmission. We refer to this cooperative strategy as accumulative broadcast. We seek to employ accumulative broadcast in a large scale loosely synchronized, low-power network. Therefore, we focus on distributed network layer approaches for accumulative broadcast in which loosely synchronized nodes use only local information. To further simplify the system architecture, we assume that nodes forward only reliably decoded messages. Under these assumptions, we formulate the minimum-energy accumulative broadcast problem. We present a solution employing two subproblems. First, we identify the ordering in which nodes should transmit. Second, we determine the optimum power levels for that ordering. While the second subproblem can be solved by means of linear programming, the ordering subproblem is found to be NP-complete. We devise a heuristic algorithm to find a good ordering. Simulation results show the performance of the algorithm to be close to optimum and a significant improvement over the well known BIP algorithm for constructing energy-efficient broadcast trees. We then formulate a distributed version of the accumulative broadcast algorithm that uses only local information at the nodes and has performance close to its centralized counterpart. This paper studies distributed primal-dual strategies for adaptation and learning over networks from streaming data. Two first-order methods are considered based on the Arrow-Hurwicz (AH) and augmented Lagrangian (AL) techniques. Several revealing results are discovered in relation to the performance and stability of these strategies when employed over adaptive networks. The conclusions establish that the advantages that these methods exhibit for deterministic optimization problems do not necessarily carry over to stochastic optimization problems. It is found that they have narrower stability ranges and worse steady-state mean-square-error performance than primal methods of the consensus and diffusion type. It is also found that the AH technique can become unstable under a partial observation model, while the other techniques are able to recover the unknown under this scenario. A method to enhance the performance of AL strategies is proposed by tying the selection of the step-size to their regularization parameter. It is shown that this method allows the AL algorithm to approach the performance of consensus and diffusion strategies but that it remains less stable than these other strategies. We study constrained stochastic programs where the decision vector at each time slot cannot be chosen freely but is tied to the realization of an underlying random state vector. The goal is to minimize a general objective function subject to linear constraints. A typical scenario where such programs appear is opportunistic scheduling over a network of time-varying channels, where the random state vector is the channel state observed, and the control vector is the transmission decision which depends on the current channel state. We consider a primal-dual type Frank-Wolfe algorithm that has a low complexity update during each slot and that learns to make efficient decisions without prior knowledge of the probability distribution of the random state vector. We establish convergence time guarantees for the case of both convex and non-convex objective functions. We also emphasize application of the algorithm to non-convex opportunistic scheduling and distributed non-convex stochastic optimization over a connected graph. Consider a distributed network in which up to a third of the nodes may be Byzantine, and in which the non-faulty nodes may be subject to transient faults that alter their memory in an arbitrary fashion. Within the context of this model, we are interested in the digital clock synchronization problem; which consists of agreeing on bounded integer counters, and increasing these counters regularly. It has been postulated in the past that synchronization cannot be solved in a Byzantine tolerant and self-stabilizing manner. The first solution to this problem had an expected exponential convergence time. Later, a deterministic solution was published with linear convergence time, which is optimal for deterministic solutions. In the current paper we achieve an expected constant convergence time. We thus obtain the optimal probabilistic solution, both in terms of convergence time and in terms of resilience to Byzantine adversaries. This paper studies the problem of finding a priori shortest paths to guarantee a given likelihood of arriving on-time in a stochastic network. Such "reliable" paths help travelers better plan their trips to prepare for the risk of running late in the face of stochastic travel times. Optimal solutions to the problem can be obtained from local-reliable paths, which are a set of non-dominated paths under first-order stochastic dominance. We show that Bellman's principle of optimality can be applied to construct local-reliable paths. Acyclicity of local-reliable paths is established and used for proving finite convergence of solution procedures. The connection between the a priori path problem and the corresponding adaptive routing problem is also revealed. A label-correcting algorithm is proposed and its complexity is analyzed. A pseudo-polynomial approximation is proposed based on extreme-dominance. An extension that allows travel time distribution functions to vary over time is also discussed. We show that the time-dependent problem is decomposable with respect to arrival times and therefore can be solved as easily as its static counterpart. Numerical results are provided using typical transportation networks. Recent advances in both computational power and communications technologies have created novel opportunities for research in combinatorial optimizations. Many applications in routing, scheduling, and networking raise exciting challenges, in particular in uncertainty. These applications are often online optimization problems, where the input is not known a priori, but characterized by a probabilistic model, and where decisions are made under severe time constraints. This thesis presents an online stochastic optimization framework whose goal is to maximize expected profit. It presents two algorithms, consensus and regret, designed to operate under severe time constraints. Theoretical results show that the framework and algorithms provide strong guarantees on solution quality under reasonable assumptions about the input distribution). Moreover, experimental results on a variety of applications in packet scheduling, vehicle dispatching, and vehicle routing indicate that the approach provides significant improvements in quality of service, even under severe time constraints. The framework is also shown to be robust even when the distribution itself is unknown. Finally, a large neighborhood search that hybridizes constraint programming and local search in novel ways is presented for its success in online vehicle routing problems. This text presents a modern theory of analysis, control, and optimization for dynamic networks. Mathematical techniques of Lyapunov drift and Lyapunov optimization are developed and shown to enable constrained optimization of time averages in general stochastic systems. The focus is on communication and queueing systems, including wireless networks with time-varying channels, mobility, and randomly arriving traffic. A simple drift-plus-penalty framework is used to optimize time averages such as throughput, throughput-utility, power, and distortion. Explicit performance-delay tradeoffs are provided to illustrate the cost of approaching optimality. This theory is also applicable to problems in operations research and economics, where energy-efficient and profit-maximizing decisions must be made without knowing the future. Topics in the text include the following: - Queue stability theory - Backpressure, max-weight, and virtual queue methods - Primal-dual methods for non-convex stochastic utility maximization - Universal scheduling theory for arbitrary sample paths - Approximate and randomized scheduling theory - Optimization of renewal systems and Markov decision systems Detailed examples and numerous problem set questions are provided to reinforce the main concepts. Table of Contents: Introduction Introduction to Queues Dynamic Scheduling Example Optimizing Time Averages Optimizing Functions of Time Averages Approximate Scheduling Optimization of Renewal Systems Conclusions In this paper, we investigate the problem of maximizing the throughput over a finite-horizon time period for a sensor network with energy replenishment. The finite-horizon problem is important and challenging because it necessitates optimizing metrics over the short term rather than metrics that are averaged over a long period of time. Unlike the infinite-horizon problem, the fact that inefficiencies cannot be made to vanish to infinitesimally small values, means that the finite-horizon problem requires more delicate control. The finite-horizon throughput optimization problem can be formulated as a convex optimization problem, but turns out to be highly complex. The complexity is brought about by the “time coupling property,” which implies that current decisions can influence future performance. To address this problem, we employ a three-step approach. First, we focus on the throughput maximization problem for a single node with renewable energy assuming that the replenishment rate profile for the entire finite-horizon period is known in advance. An energy allocation scheme that is equivalent to computing a shortest path in a simply-connected space is developed and proven to be optimal. We then relax the assumption that the future replenishment profile is known and develop an online algorithm. The online algorithm guarantees a fraction of the optimal throughput. Motivated by these results, we propose a low-complexity heuristic distributed scheme, called NetOnline, in a rechargeable sensor network. We prove that this heuristic scheme is optimal under homogeneous replenishment profiles. Further, in more general settings, we show via simulations that NetOnline significantly outperforms a state-of-the-art infinite-horizon based scheme, and for certain configurations using data collected from a testbed sensor network, it achieves empirical performance close to optimal. Efficient and reliable demand side management techniques for community charging of plug-in hybrid electrical vehicles (PHEVs) and plug-in electrical vehicles (PEVs) are needed, as large numbers of these vehicles are being introduced to the power grid. To avoid overloads and maximize customer preferences in terms of time and cost of charging, a constrained nonlinear optimization problem can be formulated. In this paper, we have developed a novel cooperative distributed algorithm for charging control of PHEVs PEVs that solves the constrained nonlinear optimization problem using Karush-Kuhn-Tucker (KKT) conditions and consensus networks in a distributed fashion. In our design, the global optimal power allocation under all local and global constraints is reached through peer-to-peer coordination of charging stations. Therefore, the need for a central control unit is eliminated. In this way, single-node congestion is avoided when the size of the problem is increased and the system gains robustness against single-link node failures. Furthermore, via Monte Carlo simulations, we have demonstrated that the proposed distributed method is scalable with the number of charging points and returns solutions, which are comparable to centralized optimization algorithms with a maximum of 2 sub-optimality. Thus, the main advantages of our approach are eliminating the need for a central energy management coordination unit, gaining robustness against single-link node failures, and being scalable in terms of single-node computations.