Fall 2013

On the O(1/k) Convergence of the Asynchronous Distributed Alternating Direction Method of Multipliers

Tuesday, October 22nd, 2013 2:15 pm2:45 pm

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We consider a network of agents that are cooperatively solving a global optimization problem, where the objective function is the sum of privately known local objective functions of the agents and the decision variables are coupled via linear constraints. Recent literature focused on special cases of this formulation and studied Alternating Direction Method of Multipliers (ADMM) based methods for their solution, which require a synchronous implementation and a globally known order on the agents. In this paper, we present a novel asynchronous ADMM based distributed method for the general formulation and show that it converges at the rate $Oleft(1/k ight)$.