A Robust Gradient Tracking Method for Distributed Optimization over Directed Networks (2003.13980v3)

Abstract: In this paper, we consider the problem of distributed consensus optimization over multi-agent networks with directed network topology. Assuming each agent has a local cost function that is smooth and strongly convex, the global objective is to minimize the average of all the local cost functions. To solve the problem, we introduce a robust gradient tracking method (R-Push-Pull) adapted from the recently proposed Push-Pull/AB algorithm. R-Push-Pull inherits the advantages of Push-Pull and enjoys linear convergence to the optimal solution with exact communication. Under noisy information exchange, R-Push-Pull is more robust than the existing gradient tracking based algorithms; the solutions obtained by each agent reach a neighborhood of the optimum in expectation exponentially fast under a constant stepsize policy. We provide a numerical example that demonstrate the effectiveness of R-Push-Pull.