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Linear Convergence Rate of Class of Distributed Augmented Lagrangian Algorithms

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journal contribution
posted on 01.04.2014 by Dusan Jakovetic, José M. F. Moura, Joao Xavier

We study distributed optimization where nodes cooperatively minimize the sum of their individual, locally known, convex costs fi(x)'s, x∈Rd is global. Distributed augmented Lagrangian (AL) methods have good empirical performance on several signal processing and learning applications, but there is limited understanding of their convergence rates and how it depends on the underlying network. This paper establishes globally linear (geometric) convergence rates of a class of deterministic and randomized distributed AL methods, when the fi's are twice continuously differentiable and have a bounded Hessian. We give explicit dependence of the convergence rates on the underlying network parameters. Simulations illustrate our analytical findings.