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Jakovetic D., Xavier J., Moura J.M.F.

IEEE Transactions on Signal Processing

pp 3889



We study distributed optimization in networked systems, where nodes cooperate to find the optimal quantity of common interest, x = x*. The objective function of the corresponding optimization problem is the sum of private (known only by a node), convex, nodes’ objectives and each node imposes a private convex constraint on the allowed values of x. We solve this problem for generic connected network topologies with asymmetric random link failures with a novel distributed, de-centralized algorithm. We refer to this algorithm as AL-G (augmented Lagrangian gossiping), and to its variants as AL-MG (augmented Lagrangian multi neighbor gossiping) and AL-BG (augmented Lagrangian broadcast gossiping). The AL-G algorithm is based on the augmented Lagrangian dual function. Dual variables are updated by the standard method of multipliers, at a slow time scale. To update the primal variables, we propose a novel, Gauss-Seidel type, randomized algorithm, at a fast time scale. AL-G uses unidirectional gossip communication, only between immediate neighbors in the network and is resilient to random link failures. For networks with reliable communication (i.e., no failures), the simplified, AL-BG (augmented Lagrangian broadcast gossiping) algorithm reduces communication, computation and data storage cost. We prove convergence for all proposed algorithms and demonstrate by simulations the effectiveness on two applications: l 1 -regularized logistic regression for classification and cooperative spectrum sensing for cognitive radio networks.