Distributed Momentum-Based Frank-Wolfe Algorithm for Stochastic Optimization
文献类型：期刊论文
| 作者 | Jie Hou; Xianlin Zeng; Gang Wang; Jian Sun ; Jie Chen
|
| 刊名 | IEEE/CAA Journal of Automatica Sinica
 |
| 出版日期 | 2023 |
| 卷号 | 10期号:3页码:685-699 |
| 关键词 | Distributed optimization Frank-Wolfe (FW) algorithms momentum-based method stochastic optimization |
| ISSN号 | 2329-9266 |
| DOI | 10.1109/JAS.2022.105923 |
| 英文摘要 | This paper considers distributed stochastic optimization, in which a number of agents cooperate to optimize a global objective function through local computations and information exchanges with neighbors over a network. Stochastic optimization problems are usually tackled by variants of projected stochastic gradient descent. However, projecting a point onto a feasible set is often expensive. The Frank-Wolfe (FW) method has well-documented merits in handling convex constraints, but existing stochastic FW algorithms are basically developed for centralized settings. In this context, the present work puts forth a distributed stochastic Frank-Wolfe solver, by judiciously combining Nesterov’s momentum and gradient tracking techniques for stochastic convex and nonconvex optimization over networks. It is shown that the convergence rate of the proposed algorithm is ${\cal{O}}(k^{-\frac{1}{2}})$ for convex optimization, and ${\cal{O}}(1/\mathrm{log}_2(k))$ for nonconvex optimization. The efficacy of the algorithm is demonstrated by numerical simulations against a number of competing alternatives. |
| 源URL | [http://ir.ia.ac.cn/handle/173211/51181]  |
| 专题 | 自动化研究所_学术期刊_IEEE/CAA Journal of Automatica Sinica |
| 推荐引用方式 GB/T 7714 | Jie Hou,Xianlin Zeng,Gang Wang,et al. Distributed Momentum-Based Frank-Wolfe Algorithm for Stochastic Optimization[J]. IEEE/CAA Journal of Automatica Sinica,2023,10(3):685-699. |
| APA | Jie Hou,Xianlin Zeng,Gang Wang,Jian Sun,&Jie Chen.(2023).Distributed Momentum-Based Frank-Wolfe Algorithm for Stochastic Optimization.IEEE/CAA Journal of Automatica Sinica,10(3),685-699. |
| MLA | Jie Hou,et al."Distributed Momentum-Based Frank-Wolfe Algorithm for Stochastic Optimization".IEEE/CAA Journal of Automatica Sinica 10.3(2023):685-699. |
入库方式： OAI收割
来源：自动化研究所
浏览0
下载0
收藏0
其他版本
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。