A randomized incremental primal-dual method for decentralized consensus optimization

Abstract

We consider a class of convex decentralized consensus optimization problems over connected multi-agent networks. Each agent in the network holds its local objective function privately, and can only communicate with its directly connected agents during the computation to find the minimizer of the sum of all objective functions. We propose a randomized incremental primal-dual method to solve this problem, where the dual variable over the network in each iteration is only updated at a randomly selected node, whereas the dual variables elsewhere remain the same as in the previous iteration. Thus, the communication only occurs in the neighborhood of the selected node in each iteration and hence can greatly reduce the chance of communication delay and failure in the standard fully synchronized consensus algorithms. We provide comprehensive convergence analysis including convergence rates of the primal residual and consensus error of the proposed algorithm, and conduct numerical experiments to show its performance using both uniform sampling and important sampling as node selection strategy.