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A Chebyshev-Accelerated Primal-Dual Method for Distributed Optimization. (arXiv:1810.06713v1 [math.OC])
来源于:arXiv
We consider a distributed optimization problem over a network of agents
aiming to minimize a global objective function that is the sum of local convex
and composite cost functions. To this end, we propose a distributed
Chebyshev-accelerated primal-dual algorithm to achieve faster ergodic
convergence rates. In standard distributed primal-dual algorithms, the speed of
convergence towards a global optimum (i.e., a saddle point in the corresponding
Lagrangian function) is directly influenced by the eigenvalues of the Laplacian
matrix representing the communication graph. In this paper, we use Chebyshev
matrix polynomials to generate gossip matrices whose spectral properties result
in faster convergence speeds, while allowing for a fully distributed
implementation. As a result, the proposed algorithm requires fewer gradient
updates at the cost of additional rounds of communications between agents. We
illustrate the performance of the proposed algorithm in a distributed signal
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