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Decentralized Consensus Optimization with Asynchrony and Delays

Tianyu Wu (wuty11***at***math.ucla.edu)
Kun Yuan (kunyuan***at***ucla.edu)
Qing Ling (qingling***at***mail.ustc.edu.cn)
Wotao Yin (wotaoyin***at***ucla.edu)
Ali H. Sayed (sayed***at***ucla.edu)

Abstract: We propose an asynchronous, decentralized algorithm for consensus optimization. The algorithm runs over a network in which the agents communicate with their neighbors and perform local computation. In the proposed algorithm, each agent can compute and communicate independently at different times, for different durations, with the information it has even if the latest information from its neighbors is not yet available. Such an asynchronous algorithm reduces the time that agents would otherwise waste idle because of communication delays or because their neighbors are slower. It also eliminates the need for a global clock for synchronization. Mathematically, the algorithm involves both primal and dual variables, uses fixed step-size parameters, and provably converges to the exact solution under a bounded delay assumption and a random agent assumption. When running synchronously, the algorithm performs just as well as existing competitive synchronous algorithms such as PG-EXTRA, which diverges without synchronization. Numerical experiments confirm the theoretical findings and illustrate the performance of the proposed algorithm.

Keywords: decentralized, asynchronous, delay, consensus optimization

Category 1: Network Optimization

Category 2: Nonlinear Optimization

Category 3: Convex and Nonsmooth Optimization

Citation: UCLA CAM 16-82, 2016

Download: [PDF]

Entry Submitted: 11/30/2016
Entry Accepted: 11/30/2016
Entry Last Modified: 03/02/2017

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