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DISTRIBUTED SUBGRADIENT-FREE STOCHASTIC OPTIMIZATION ALGORITHM FOR NONSMOOTH CONVEX FUNCTIONS OVER TIME-VARYING NETWORKS

文献类型：期刊论文

作者Wang, Yinghui1,2; Zhao, Wenxiao1,2; Hong, Yiguang1,2; Zamani, Mohsen3
刊名SIAM JOURNAL ON CONTROL AND OPTIMIZATION
出版日期2019
卷号57期号:4页码:2821-2842
关键词distributed stochastic optimization gradient-/subgadient-free algorithm nonsmoothness randomized differences
ISSN号0363-0129
DOI10.1137/18M119046X
英文摘要In this paper we consider a distributed stochastic optimization problem without gradient/subgradient information for local objective functions and subject to local convex constraints. Objective functions may he nonsmooth and observed with stochastic noises, and the network for the distributed design is time-varying. By adding stochastic dithers to local objective functions and constructing randomized differences motivated by the Kiefer-Wolfowitz algorithm, we propose a distributed subgradient-free algorithm for finding the global minimizer with local observations. Moreover, we prove that the consensus of estimates and global minimization can he achieved with probability one over the time-varying network, and we obtain the convergence rate of the mean average of estimates as well. Finally, we give numerical examples to illustrate the performance of the proposed algorithms.
资助项目National Key Research and Development Program of China[2016YFB0901900] ; National Natural Science Foundation of China (NSFC)[61733018] ; National Natural Science Foundation of China (NSFC)[61573344] ; NSFC[61822312] ; NSFC[61573345]
WOS研究方向Automation & Control Systems ; Mathematics
语种英语
WOS记录号WOS:000483941200022
出版者SIAM PUBLICATIONS
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/33322]  
专题系统科学研究所
通讯作者Wang, Yinghui
作者单位1.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, Key Lab Syst & Control, Beijing 100190, Peoples R China
3.Univ Newcastle, Sch Elect Engn & Comp, Callaghan, NSW 2308, Australia
推荐引用方式
GB/T 7714		 Wang, Yinghui,Zhao, Wenxiao,Hong, Yiguang,et al. DISTRIBUTED SUBGRADIENT-FREE STOCHASTIC OPTIMIZATION ALGORITHM FOR NONSMOOTH CONVEX FUNCTIONS OVER TIME-VARYING NETWORKS[J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION,2019,57(4):2821-2842.
APA Wang, Yinghui,Zhao, Wenxiao,Hong, Yiguang,&Zamani, Mohsen.(2019).DISTRIBUTED SUBGRADIENT-FREE STOCHASTIC OPTIMIZATION ALGORITHM FOR NONSMOOTH CONVEX FUNCTIONS OVER TIME-VARYING NETWORKS.SIAM JOURNAL ON CONTROL AND OPTIMIZATION,57(4),2821-2842.
MLA Wang, Yinghui,et al."DISTRIBUTED SUBGRADIENT-FREE STOCHASTIC OPTIMIZATION ALGORITHM FOR NONSMOOTH CONVEX FUNCTIONS OVER TIME-VARYING NETWORKS".SIAM JOURNAL ON CONTROL AND OPTIMIZATION 57.4(2019):2821-2842.

入库方式： OAI收割

来源：数学与系统科学研究院

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