Projected Push-Sum Gradient Descent-Ascent for Convex Optimizationwith Application to Economic Dispatch Problems (2004.02854v2)

Abstract: We propose a novel algorithm for solving convex, constrained and distributed optimization problems defined on multi-agent-networks, where each agent has exclusive access to a part of the global objective function. The agents are able to exchange information over a directed, weighted communication graph, which can be represented as a column-stochastic matrix. The algorithm combines an adjusted push-sum consensus protocol for information diffusion and a gradient descent-ascent on the local cost functions, providing convergence to the optimum of their sum. We provide results on a reformulation of the push-sum into single matrix-updates and prove convergence of the proposed algorithm to an optimal solution, given standard assumptions in distributed optimization. The algorithm is applied to a distributed economic dispatch problem, in which the constraints can be expressed in local and global subsets.