In this paper, we address the problem of how a network of agents can collaboratively fit a linear model when each agent only ever has an arbitrary summand of the regression data. This problem generalizes previously studied data-matrix-splitting scenarios, allowing for some agents to have more measurements of some features than of others and even have measurements that other agents have. We present a variable-centric framework for distributed optimization in a network, and use this framework to develop a proximal algorithm, based on the Douglas-Rachford method, that solves the problem.
In solving @math , the algorithm we provide is based on the Douglas-Rachford proximal splitting method @cite_5 . It falls in a growing body of recent work on applying splitting methods, like the alternating directions method of multipliers (ADMM), to obtain distributed algorithms; such work is perhaps most inspired by @cite_3 .
@cite_5 @cite_3
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This paper shows, by means of an operator called asplitting operator, that the Douglas--Rachford splitting method for finding a zero of the sum of two monotone operators is a special case of the proximal point algorithm. Therefore, applications of Douglas--Rachford splitting, such as the alternating direction method of multipliers for convex programming decomposition, are also special cases of the proximal point algorithm. This observation allows the unification and generalization of a variety of convex programming algorithms. By introducing a modified version of the proximal point algorithm, we derive a new,generalized alternating direction method of multipliers for convex programming. Advances of this sort illustrate the power and generality gained by adopting monotone operator theory as a conceptual framework. We present primal-dual decomposition algorithms for convex optimization problems with cost functions @math , where @math and @math have inexpensive proximal operators and @math can be decomposed as a sum of two structured matrices. The methods are based on the Douglas--Rachford splitting algorithm applied to various splittings of the primal-dual optimality conditions. We discuss applications to image deblurring problems with nonquadratic data fidelity terms, different types of convex regularization, and simple convex constraints. In these applications, the primal-dual splitting approach allows us to handle general boundary conditions for the blurring operator. Numerical results indicate that the primal-dual splitting methods compare favorably with the alternating direction method of multipliers, the Douglas--Rachford algorithm applied to a reformulated primal problem, and the Chambolle--Pock primal-dual algorithm.