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 this paper we propose a novel smooth vector field whose trajectories globally converge to the saddle point of the Lagrangian associated with a convex and constrained optimization problem. Under suitable assumptions, we prove global convergence of the trajectories for the class of strictly convex problems and we propose a vector field for linear programs. We consider the problem of finding an approximate second-order stationary point of a constrained non-convex optimization problem. We first show that, unlike the unconstrained scenario, the vanilla projected gradient descent algorithm may converge to a strict saddle point even when there is only a single linear constraint. We then provide a hardness result by showing that checking ( , )-second order stationarity is NP-hard even in the presence of linear constraints. Despite our hardness result, we identify instances of the problem for which checking second order stationarity can be done efficiently. For such instances, we propose a dynamic second order Frank--Wolfe algorithm which converges to ( , )-second order stationary points in O ( ^ -2 , ^ -3 ) iterations. The proposed algorithm can be used in general constrained non-convex optimization as long as the constrained quadratic sub-problem can be solved efficiently. The standard assumption for proving linear convergence of first order methods for smooth convex optimization is the strong convexity of the objective function, an assumption which does not hold for many practical applications. In this paper, we derive linear convergence rates of several first order methods for solving smooth non-strongly convex constrained optimization problems, i.e. involving an objective function with a Lipschitz continuous gradient that satisfies some relaxed strong convexity condition. In particular, in the case of smooth constrained convex optimization, we provide several relaxations of the strong convexity conditions and prove that they are sufficient for getting linear convergence for several first order methods such as projected gradient, fast gradient and feasible descent methods. We also provide examples of functional classes that satisfy our proposed relaxations of strong convexity conditions. Finally, we show that the proposed relaxed strong convexity conditions cover important applications ranging from solving linear systems, Linear Programming, and dual formulations of linearly constrained convex 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. We extend the Frank-Wolfe (FW) optimization algorithm to solve constrained smooth convex-concave saddle point (SP) problems. Remarkably, the method only requires access to linear minimization oracles. Leveraging recent advances in FW optimization, we provide the first proof of convergence of a FW-type saddle point solver over polytopes, thereby partially answering a 30 year-old conjecture. We also survey other convergence results and highlight gaps in the theoretical underpinnings of FW-style algorithms. Motivating applications without known efficient alternatives are explored through structured prediction with combinatorial penalties as well as games over matching polytopes involving an exponential number of constraints. 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 are interested in the development of efficient algorithms for convex optimization problems in the simultaneous presence of multiple objectives and stochasticity in the first-order information. We cast the stochastic multiple objective optimization problem into a constrained optimization problem by choosing one function as the objective and try to bound other objectives by appropriate thresholds. We first examine a two stages exploration-exploitation based algorithm which first approximates the stochastic objectives by sampling and then solves a constrained stochastic optimization problem by projected gradient method. This method attains a suboptimal convergence rate even under strong assumption on the objectives. Our second approach is an efficient primal-dual stochastic algorithm. It leverages on the theory of Lagrangian method in constrained optimization and attains the optimal convergence rate of O(1 √T) in high probability for general Lipschitz continuous objectives. The theory of compressive sensing (CS) has shown us that under certain conditions, a sparse signal can be recovered from a small number of linear incoherent measurements. An effective class of reconstruction algorithms involve solving a convex optimization program that balances the l1 norm of the solution against a data fidelity term. Tremendous progress has been made in recent years on algorithms for solving these l1 minimization programs. These algorithms, however, are for the most part static: they focus on finding the solution for a fixed set of measurements. In this paper, we present a suite of dynamic algorithms for solving l1 minimization programs for streaming sets of measurements. We consider cases where the underlying signal changes slightly between measurements, and where new measurements of a fixed signal are sequentially added to the system. We develop algorithms to quickly update the solution of several different types of l1 optimization problems whenever these changes occur, thus avoiding having to solve a new optimization problem from scratch. Our proposed schemes are based on homotopy continuation, which breaks down the solution update in a systematic and efficient way into a small number of linear steps. Each step consists of a low-rank update and a small number of matrix-vector multiplications - very much like recursive least squares. Our investigation also includes dynamic updating schemes for l1 decoding problems, where an arbitrary signal is to be recovered from redundant coded measurements which have been corrupted by sparse errors. (This is a theory paper) In this paper, we consider first-order methods for solving stochastic non-convex optimization problems. The key building block of the proposed algorithms is first-order procedures to extract negative curvature from the Hessian matrix through a principled sequence starting from noise, which are referred to NEgative-curvature-Originated-from-Noise or NEON and are of independent interest. Based on this building block, we design purely first-order stochastic algorithms for escaping from non-degenerate saddle points with a much better time complexity (almost linear time in the problem's dimensionality). In particular, we develop a general framework of first-order stochastic algorithms with a second-order convergence guarantee based on our new technique and existing algorithms that may only converge to a first-order stationary point. For finding a nearly second-order stationary point such that ‖∇F( )‖≤ϵ and ∇2F( )≥− √ ϵ I (in high probability), the best time complexity of the presented algorithms is ˜ O (d ϵ3.5), where F(⋅) denotes the objective function and d is the dimensionality of the problem. To the best of our knowledge, this is the first theoretical result of first-order stochastic algorithms with an almost linear time in terms of problem's dimensionality for finding second-order stationary points, which is even competitive with existing stochastic algorithms hinging on the second-order information. We consider the problem of constructing optimal decentralized controllers. We formulate this problem as one of minimizing the closed-loop norm of a feedback system subject to constraints on the controller structure. We define the notion of quadratic invariance of a constraint set with respect to a system, and show that if the constraint set has this property, then the constrained minimum-norm problem may be solved via convex programming. We also show that quadratic invariance is necessary and sufficient for the constraint set to be preserved under feedback. These results are developed in a very general framework, and are shown to hold in both continuous and discrete time, for both stable and unstable systems, and for any norm. This notion unifies many previous results identifying specific tractable decentralized control problems, and delineates the largest known class of convex problems in decentralized control. As an example, we show that optimal stabilizing controllers may be efficiently computed in the case where distributed controllers can communicate faster than their dynamics propagate. We also show that symmetric synthesis is included in this classification, and provide a test for sparsity constraints to be quadratically invariant, and thus amenable to convex synthesis. In this paper we present a complete iteration complexity analysis of inexact first-order Lagrangian and penalty methods for solving cone-constrained convex problems that have or may not have optimal Lagrange multipliers that close the duality gap. We first assume the existence of optimal Lagrange multipliers and study primal–dual first-order methods based on inexact information and augmented Lagrangian smoothing or Nesterov-type smoothing. For inexact (fast) gradient augmented Lagrangian methods, we derive an overall computational complexity of O(1 ϵ) projections onto a simple primal set in order to attain an e-optimal solution of the conic convex problem. For the inexact fast gradient method combined with Nesterov-type smoothing, we derive computational complexity O(1 ϵ3 2) projections onto the same set. Then, we assume that optimal Lagrange multipliers might not exist for the cone-constrained convex problem, and analyse the fast gradient method for solving penalty reformulations of the problem. For the ... We present a framework for solving the large-scale @math -regularized convex minimization problem: [ |x |_1+ f(x). ] Our approach is based on two powerful algorithmic ideas: operator-splitting and continuation. Operator-splitting results in a fixed-point algorithm for any given scalar @math ; continuation refers to approximately following the path traced by the optimal value of @math as @math increases. In this paper, we study the structure of optimal solution sets, prove finite convergence for important quantities, and establish @math -linear convergence rates for the fixed-point algorithm applied to problems with @math convex, but not necessarily strictly convex. The continuation framework, motivated by our convergence results, is demonstrated to facilitate the construction of practical algorithms. In this paper we study a first-order primal-dual algorithm for non-smooth convex optimization problems with known saddle-point structure. We prove convergence to a saddle-point with rate O(1 N) in finite dimensions for the complete class of problems. We further show accelerations of the proposed algorithm to yield improved rates on problems with some degree of smoothness. In particular we show that we can achieve O(1 N 2) convergence on problems, where the primal or the dual objective is uniformly convex, and we can show linear convergence, i.e. O(? N ) for some ??(0,1), on smooth problems. The wide applicability of the proposed algorithm is demonstrated on several imaging problems such as image denoising, image deconvolution, image inpainting, motion estimation and multi-label image segmentation. 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. Classical stochastic gradient methods are well suited for minimizing expected-value objective functions. However, they do not apply to the minimization of a nonlinear function involving expected values or a composition of two expected-value functions, i.e., the problem @math minxEvfv(Ew[gw(x)]). In order to solve this stochastic composition problem, we propose a class of stochastic compositional gradient descent (SCGD) algorithms that can be viewed as stochastic versions of quasi-gradient method. SCGD update the solutions based on noisy sample gradients of @math fv,gw and use an auxiliary variable to track the unknown quantity @math Ewgw(x). We prove that the SCGD converge almost surely to an optimal solution for convex optimization problems, as long as such a solution exists. The convergence involves the interplay of two iterations with different time scales. For nonsmooth convex problems, the SCGD achieves a convergence rate of @math O(k-1 4) in the general case and @math O(k-2 3) in the strongly convex case, after taking k samples. For smooth convex problems, the SCGD can be accelerated to converge at a rate of @math O(k-2 7) in the general case and @math O(k-4 5) in the strongly convex case. For nonconvex problems, we prove that any limit point generated by SCGD is a stationary point, for which we also provide the convergence rate analysis. Indeed, the stochastic setting where one wants to optimize compositions of expected-value functions is very common in practice. The proposed SCGD methods find wide applications in learning, estimation, dynamic programming, etc. We consider the problem of computing shortest paths through a dynamic network – a network with time-varying characteristics, such as arc travel times and costs, which are known for all values of time. Many types of networks, most notably transportation networks, exhibit such predictable dynamic behavior over the course of time. Dynamic shortest path problems are currently solved in practice by algorithms which operate within a discrete-time framework. In this thesis, we introduce a new set of algorithms for computing shortest paths in continuous-time dynamic networks, and demonstrate for the first time in the literature the feasibility and the advantages of solving dynamic shortest path problems in continuous time. We assume that all time-dependent network data functions are given as piece-wise linear functions of time, a representation capable of easily modeling most common dynamic problems. Additionally, this form of representation and the solution algorithms developed in this thesis are well suited for many augmented static problems such as time-constrained minimum-cost shortest path problems and shortest path problems with time windows. We discuss the classification, formulation, and mathematical properties of all common variants of the continuous-time dynamic shortest path problem. Two classes of solution algorithms are introduced, both of which are shown to solve all variants of the problem. In problems where arc travel time functions exhibit First-In-First-Out (FIFO) behavior, we show that these algorithms have polynomial running time; although the general problem is NP-hard, we argue that the average-case running time for many common problems should be quite reasonable. Computational results are given which support the theoretical analysis of these algorithms, and which provide a comparison with existing discrete-time algorithms; in most cases, continuous-time approaches are shown to be much more efficient, both in running time and storage requirements, than their discretetime counterparts. Finally, in order to further reduce computation time, we introduce parallel algorithms, and hybrid continuous-discrete approximation algorithms which exploit favorable characteristics of algorithms from both domains. Thesis Supervisor: Ismail Chabini Title: Assistant Professor, Department of Civil and Environmental Engineering, Massachusetts Institute of Technology The usual approach to developing and analyzing first-order methods for non-smooth (stochastic or deterministic) convex optimization assumes that the objective function is uniformly Lipschitz continuous with parameter @math . However, in many settings the non-differentiable convex function @math is not uniformly Lipschitz continuous -- for example (i) the classical support vector machine (SVM) problem, (ii) the problem of minimizing the maximum of convex quadratic functions, and even (iii) the univariate setting with @math . Herein we develop a notion of "relative continuity" that is determined relative to a user-specified "reference function" @math (that should be computationally tractable for algorithms), and we show that many non-differentiable convex functions are relatively continuous with respect to a correspondingly fairly-simple reference function @math . We also similarly develop a notion of "relative stochastic continuity" for the stochastic setting. We analysis two standard algorithms -- the (deterministic) mirror descent algorithm and the stochastic mirror descent algorithm -- for solving optimization problems in these two new settings, and we develop for the first time computational guarantees for instances where the objective function is not uniformly Lipschitz continuous. This paper is a companion paper for non-differentiable convex optimization to the recent paper by Lu, Freund, and Nesterov, which developed similar sorts of results for differentiable convex optimization. This article considers the application of the unscented transformation to approximate fixed-interval optimal smoothing of continuous-time non-linear stochastic dynamic systems. The proposed methodology can be applied to systems, where the dynamics can be modeled with non-linear stochastic differential equations and the noise corrupted measurements are obtained continuously or at discrete times. The smoothing algorithm is based on computing the continuous-time limit of the recently proposed unscented Rauch-Tung-Striebel smoother, which is an approximate optimal smoothing algorithm for discrete-time stochastic dynamic systems. We study accelerated mirror descent dynamics in continuous and discrete time. Combining the original continuous-time motivation of mirror descent with a recent ODE interpretation of Nesterov's accelerated method, we propose a family of continuous-time descent dynamics for convex functions with Lipschitz gradients, such that the solution trajectories converge to the optimum at a O(1 t2) rate. We then show that a large family of first-order accelerated methods can be obtained as a discretization of the ODE, and these methods converge at a O(1 k2) rate. This connection between accelerated mirror descent and the ODE provides an intuitive approach to the design and analysis of accelerated first-order algorithms.