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dc.contributor.authorLi, J.
dc.contributor.authorLi, G.
dc.contributor.authorWu, Z.
dc.contributor.authorWu, Changzhi
dc.date.accessioned2017-01-30T10:41:07Z
dc.date.available2017-01-30T10:41:07Z
dc.date.created2016-09-27T09:52:10Z
dc.date.issued2016
dc.identifier.citationLi, J. and Li, G. and Wu, Z. and Wu, C. 2016. Stochastic mirror descent method for distributed multi-agent optimization. Optimization Letters: pp. 1-19.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/4712
dc.identifier.doi10.1007/s11590-016-1071-z
dc.description.abstract

© 2016 Springer-Verlag Berlin HeidelbergThis paper considers a distributed optimization problem encountered in a time-varying multi-agent network, where each agent has local access to its convex objective function, and cooperatively minimizes a sum of convex objective functions of the agents over the network. Based on the mirror descent method, we develop a distributed algorithm by utilizing the subgradient information with stochastic errors. We firstly analyze the effects of stochastic errors on the convergence of the algorithm and then provide an explicit bound on the convergence rate as a function of the error bound and number of iterations. Our results show that the algorithm asymptotically converges to the optimal value of the problem within an error level, when there are stochastic errors in the subgradient evaluations. The proposed algorithm can be viewed as a generalization of the distributed subgradient projection methods since it utilizes more general Bregman divergence instead of the Euclidean squared distance. Finally, some simulation results on a regularized hinge regression problem are presented to illustrate the effectiveness of the algorithm.

dc.publisherSpringer Verlag
dc.titleStochastic mirror descent method for distributed multi-agent optimization
dc.typeJournal Article
dcterms.source.startPage1
dcterms.source.endPage19
dcterms.source.issn1862-4472
dcterms.source.titleOptimization Letters
curtin.departmentDepartment of Construction Management
curtin.accessStatusFulltext not available


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