Distributed Alternating Direction Method of Multipliers
Author(s)Wei, Ermin; Ozdaglar, Asuman E.
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We consider a network of agents that are cooperatively solving a global unconstrained optimization problem, where the objective function is the sum of privately known local objective functions of the agents. Recent literature on distributed optimization methods for solving this problem focused on subgradient based methods, which typically converge at the rate O (1/√k), where k is the number of iterations. In this paper, k we introduce a new distributed optimization algorithm based on Alternating Direction Method of Multipliers (ADMM), which is a classical method for sequentially decomposing optimization problems with coupled constraints. We show that this algorithm converges at the rate O (1/k).
DepartmentMassachusetts Institute of Technology. Department of Electrical Engineering and Computer Science
Proceedings of the 2012 51st IEEE Conference on Decision and Control (CDC)
Institute of Electrical and Electronics Engineers (IEEE)
Wei, Ermin, and Asuman Ozdaglar. “Distributed Alternating Direction Method of Multipliers.” 2012 IEEE 51st IEEE Conference on Decision and Control (CDC) (December 2012).
Author's final manuscript