ON CONVERGENCE RATE OF DISTRIBUTED STOCHASTIC GRADIENT ALGORITHM FOR CONVEX OPTIMIZATION WITH INEQUALITY CONSTRAINTS
文献类型：期刊论文
| 作者 | Yuan, Deming1; Ho, Daniel W. C.2; Hong, Yiguang3
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| 刊名 | SIAM JOURNAL ON CONTROL AND OPTIMIZATION
 |
| 出版日期 | 2016 |
| 卷号 | 54期号:5页码:2872-2892 |
| 关键词 | distributed convex optimization constrained optimization algorithm stochastic gradient convergence rate |
| ISSN号 | 0363-0129 |
| DOI | 10.1137/15M1048896 |
| 英文摘要 | In this paper, we consider an optimization problem, where multiple agents cooperate to minimize the sum of their local individual objective functions subject to a global inequality constraint. We propose a class of distributed stochastic gradient algorithms that solve the problem using only local computation and communication. The implementation of the algorithms removes the need for performing the intermediate projections. For strongly convex optimization, we employ a smoothed constraint incorporation technique to show that the algorithm converges at an expected rate of O(In T/T) (where T is the number of iterations) with bounded gradients. For non-strongly convex optimization, we use a reduction technique to establish an O(1/root T) convergence rate in expectation. Finally, a numerical example is provided to show the convergence of the proposed algorithms. |
| 资助项目 | National Natural Science Foundation of China[61304042] ; National Natural Science Foundation of China[61573344] ; HKSAR[CityU 11204514] ; HKSAR[CityU 11300415] ; Natural Science Foundation of Jiangsu Province[BK20130856] |
| WOS研究方向 | Automation & Control Systems ; Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000387323500026 |
| 出版者 | SIAM PUBLICATIONS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/24054]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Yuan, Deming |
| 作者单位 | 1.Nanjing Univ Posts & Telecommun, Coll Automat, Nanjing 210023, Jiangsu, Peoples R China 2.City Univ Hong Kong, Dept Math, Kowloon, Hong Kong, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Key Lab Syst & Control, Beijing 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Yuan, Deming,Ho, Daniel W. C.,Hong, Yiguang. ON CONVERGENCE RATE OF DISTRIBUTED STOCHASTIC GRADIENT ALGORITHM FOR CONVEX OPTIMIZATION WITH INEQUALITY CONSTRAINTS[J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION,2016,54(5):2872-2892. |
| APA | Yuan, Deming,Ho, Daniel W. C.,&Hong, Yiguang.(2016).ON CONVERGENCE RATE OF DISTRIBUTED STOCHASTIC GRADIENT ALGORITHM FOR CONVEX OPTIMIZATION WITH INEQUALITY CONSTRAINTS.SIAM JOURNAL ON CONTROL AND OPTIMIZATION,54(5),2872-2892. |
| MLA | Yuan, Deming,et al."ON CONVERGENCE RATE OF DISTRIBUTED STOCHASTIC GRADIENT ALGORITHM FOR CONVEX OPTIMIZATION WITH INEQUALITY CONSTRAINTS".SIAM JOURNAL ON CONTROL AND OPTIMIZATION 54.5(2016):2872-2892. |
入库方式： OAI收割
来源：数学与系统科学研究院
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