A distributed Newton method for Network Utility Maximization
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Ozdaglar_A distributed.pdf
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179 KB
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Adobe PDF
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079461447779e97c5071efe5f636f26a
Author(s)
Wei, Ermin
Ozdaglar, Asuman E.
Jadbabaie, Ali
Date Issued
December 2010
Journal
Proceedings of the 2010 49th IEEE Conference on Decision and Control (CDC)
Publisher
Institute of Electrical and Electronics Engineers
Citation
Wei, E., A. Ozdaglar, and A. Jadbabaie. “A distributed Newton method for Network Utility Maximization.” Decision and Control (CDC), 2010 49th IEEE Conference on. 2010. 1816-1821. © Copyright 2010 IEEE
Version
Final published version
Abstract
Most existing work uses dual decomposition and subgradient methods to solve Network Utility Maximization (NUM) problems in a distributed manner, which suffer from slow rate of convergence properties. This work develops an alternative distributed Newton-type fast converging algorithm for solving network utility maximization problems with self-concordant utility functions. By using novel matrix splitting techniques, both primal and dual updates for the Newton step can be computed using iterative schemes in a decentralized manner with limited scalar information exchange. Similarly, the stepsize can be obtained via an iterative consensus-based averaging scheme. We show that even when the Newton direction and the stepsize in our method are computed within some error (due to finite truncation of the iterative schemes), the resulting objective function value still converges superlinearly to an explicitly characterized error neighborhood. Simulation results demonstrate significant convergence rate improvement of our algorithm relative to the existing subgradient methods based on dual decomposition.
MIT Department
Massachusetts Institute of Technology. Department of Electrical Engineering and Computer Science
Terms of Use
Article is made available in accordance with the publisher's policy and may be subject to US copyright law. Please refer to the publisher's site for terms of use.
Persistent DSpace Link
DOI of Published Version
https://doi.org/10.1109/CDC.2010.5718026
