Distributed Newton Methods for Strictly Convex Consensus Optimization Problems in Multi-Agent Networks

Abstract

Abstract:Various distributed optimization methods have been developed for consensus optimization problems in multi-agent networks. Most of these methods only use gradient or subgradient information of the objective functions, which suffer from slow convergence rate. Recently, a distributed Newton method whose appeal stems from the use of second-order information and its fast convergence rate has been devised for the network utility maximization (NUM) problem. This paper contributes to this method by adjusting it to a special kind of consensus optimization problem in two different multi-agent networks. For networks with Hamilton path, the distributed Newton method is modified by exploiting a novel matrix splitting techniques. For general connected multi-agent networks, the algorithm is trimmed by combining the matrix splitting technique and the spanning tree for this consensus optimization problems. The convergence analyses show that both modified distributed Newton methods enable the nodes across the network to achieve a global optimal solution in a distributed manner. Finally, the distributed Newton method is applied to solve a problem which is motivated by the Kuramoto model of coupled nonlinear oscillators and the numerical results illustrate the performance of the proposed algorithm.

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