This paper considers a problem where multiple users make repeated decisions based on their own observed events. The events and decisions at each time step determine the values of a utility function and a collection of penalty functions. The goal is to make distributed decisions over time to maximize time average utility subject to time average constraints on the penalties. An example is a collection of power constrained sensor nodes that repeatedly report their own observations to a fusion center. Maximum time average utility is fundamentally reduced because users do not know the events observed by others. Optimality is characterized for this distributed context. It is shown that optimality is achieved by correlating user decisions through a commonly known pseudorandom sequence. An optimal algorithm is developed that chooses pure strategies at each time step based on a set of time-varying weights.
This paper shows that an optimal distributed algorithm can be designed by having users correlate their decisions through an independent source of common randomness (Section ). Related notions of commonly shared randomness are used in game theory to define a , which is typically easier to compute than a standard Nash equilibrium @cite_7 @cite_23 @cite_14 @cite_9 . For the current paper, the shared randomness is crucial for solving the distributed optimization problem. This paper shows that optimality can be achieved by using a shared random variable with @math possible outcomes, where @math is the number of penalty constraints. The solution is computable through a linear program. Unfortunately, the linear program can have a very large number of variables, even for 2-user problems. A reduction to polynomial complexity is shown to be possible in certain cases (Section ). This paper also develops an online algorithm that chooses pure strategies every slot based on a set of weights that are updated at the end of each slot (Section ). The online technique is based on Lyapunov optimization concepts @cite_15 @cite_5 @cite_20 .
@cite_14 @cite_7 @cite_9 @cite_23 @cite_5 @cite_15 @cite_20
2045465809 2963602389 2145374086 2134252677
This paper considers a time-varying game with N players. Every time slot, players observe their own random events and then take a control action. The events and control actions affect the individual utilities earned by each player. The goal is to maximize a concave function of time average utilities subject to equilibrium constraints. Specifically, participating players are provided access to a common source of randomness from which they can optimally correlate their decisions. The equilibrium constraints incentivize participation by ensuring that players cannot earn more utility if they choose not to participate. This form of equilibrium is similar to the notions of Nash equilibrium and correlated equilibrium, but is simpler to attain. A Lyapunov method is developed that solves the problem in an online max-weight fashion by selecting actions based on a set of time-varying weights. The algorithm does not require knowledge of the event probabilities. A similar method can be used to compute a standard correlated equilibrium, albeit with increased complexity. We consider the canonical shared link caching network formed by a source node, hosting a library of @math information messages (files), connected via a noiseless multicast link to @math user nodes, each equipped with a cache of size @math files. Users request files independently at random according to an a-priori known demand distribution q. A coding scheme for this network consists of two phases: cache placement and delivery. The cache placement is a mapping of the library files onto the user caches that can be optimized as a function of the demand statistics, but is agnostic of the actual demand realization. After the user demands are revealed, during the delivery phase the source sends a codeword (function of the library files, cache placement, and demands) to the users, such that each user retrieves its requested file with arbitrarily high probability. The goal is to minimize the average transmission length of the delivery phase, referred to as rate (expressed in channel symbols per file). In the case of deterministic demands, the optimal min-max rate has been characterized within a constant multiplicative factor, independent of the network parameters. The case of random demands was previously addressed by applying the order-optimal min-max scheme separately within groups of files requested with similar probability. However, no complete characterization of order-optimality was previously provided for random demands under the average rate performance criterion. In this paper, we consider the random demand setting and, for the special yet relevant case of a Zipf demand distribution, we provide a comprehensive characterization of the order-optimal rate for all regimes of the system parameters, as well as an explicit placement and delivery scheme achieving order-optimal rates. We present also numerical results that confirm the superiority of our scheme with respect to previously proposed schemes for the same setting. 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. Various randomized consensus algorithms have been proposed in the literature. In some case randomness is due to the choice of a randomized network communication protocol. In other cases, randomness is simply caused by the potential unpredictability of the environment in which the distributed consensus algorithm is implemented. Conditions ensuring the convergence of these algorithms have already been proposed in the literature. As far as the rate of convergence of such algorithms, two approaches can be proposed. One is based on a mean square analysis, while a second is based on the concept of Lyapunov exponent. In this paper, by some concentration results, we prove that the mean square convergence analysis is the right approach when the number of agents is large. Differently from the existing literature, in this paper we do not stick to average preserving algorithms. Instead, we allow to reach consensus at a point which may differ from the average of the initial states. The advantage of such algorithms is that they do not require bidirectional communication among agents and thus they apply to more general contexts. Moreover, in many important contexts it is possible to prove that the displacement from the initial average tends to zero, when the number of agents goes to infinity.