Double Averaging and Gradient Projection: Convergence Guarantees for Decentralized Constrained Optimization
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We consider a generic decentralized constrained optimization problem over static, directed communication networks, where each agent has exclusive access to only one convex, differentiable, local objective term and one convex constraint set. For this setup, we propose a novel decentralized algorithm, called DAGP (Double Averaging and Gradient Projection), based on local gradients, projection onto local constraints, and local averaging. We achieve global optimality through a novel distributed tracking technique we call distributed null projection. Further, we show that DAGP can also be used to solve unconstrained problems with non-differentiable objective terms, by employing the so-called epigraph projection operators (EPOs). In this regard, we introduce a new fast algorithm for evaluating EPOs. We study the convergence of DAGP and establish 𝒪(1/√(K)) convergence in terms of feasibility, consensus, and optimality. For this reason, we forego the difficulties of selecting Lyapunov functions by proposing a new methodology of convergence analysis in optimization problems, which we refer to as aggregate lower-bounding. To demonstrate the generality of this method, we also provide an alternative convergence proof for the gradient descent algorithm for smooth functions. Finally, we present numerical results demonstrating the effectiveness of our proposed method in both constrained and unconstrained problems.
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