Asymptotic properties of dual averaging algorithm for constrained distributed stochastic optimization

Abstract

Considering the constrained stochastic optimization problem over a time-varying random network, where the agents are to collectively minimize a sum of objective functions subject to a common constraint set, we investigate asymptotic properties of a distributed algorithm based on dual averaging of gradients. Different from most existing works on distributed dual averaging algorithms that are mainly focused on their non-asymptotic properties, we prove not only almost sure convergence and rate of almost sure convergence, but also asymptotic normality and asymptotic efficiency of the algorithm. Firstly, for general constrained convex optimization problem distributed over a random network, we prove that almost sure consensus can be achieved and the estimates of agents converge to the same optimal point. For the case of linear constrained convex optimization, we show that the mirror map of the averaged dual sequence identifies the active constraints of the optimal solution with probability 1, which helps us to prove the almost sure convergence rate and then establish asymptotic normality of the algorithm. Furthermore, we also verify that the algorithm is asymptotically optimal. To the best of our knowledge, it is the first asymptotic normality result for constrained distributed optimization algorithms. Finally, a numerical example is provided to justify the theoretical analysis.