Distributed big-data optimization via block communications
2017 IEEE 7th International Workshop on Computational Advances in …, 2017•ieeexplore.ieee.org
We study distributed multi-agent large-scale optimization problems, wherein the cost
function is composed of a smooth possibly nonconvex sum-utility plus a DC (Difference-of-
Convex) regularizer. We consider the scenario where the dimension of the optimization
variables is so large that optimizing and/or transmitting the entire set of variables could
cause unaffordable computation and communication overhead. To address this issue, we
propose the first distributed algorithm whereby agents optimize and communicate only a …
function is composed of a smooth possibly nonconvex sum-utility plus a DC (Difference-of-
Convex) regularizer. We consider the scenario where the dimension of the optimization
variables is so large that optimizing and/or transmitting the entire set of variables could
cause unaffordable computation and communication overhead. To address this issue, we
propose the first distributed algorithm whereby agents optimize and communicate only a …
We study distributed multi-agent large-scale optimization problems, wherein the cost function is composed of a smooth possibly nonconvex sum-utility plus a DC (Difference-of-Convex) regularizer. We consider the scenario where the dimension of the optimization variables is so large that optimizing and/or transmitting the entire set of variables could cause unaffordable computation and communication overhead. To address this issue, we propose the first distributed algorithm whereby agents optimize and communicate only a portion of their local variables. The scheme hinges on successive convex approximation (SCA) to handle the nonconvexity of the objective function, coupled with a novel block-signal tracking scheme, aiming at locally estimating the average of the agents' gradients. Asymptotic convergence to stationary solutions of the nonconvex problem is established. Numerical results on a sparse regression problem show the effectiveness of the proposed algorithm and the impact of the block size on its practical convergence speed and communication cost.
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