Asynchronous level bundle methods

Abstract

In this paper, we consider nonsmooth convex optimization problems with additive structure featuring independent oracles (black-boxes) working in parallel. Existing methods for solving these distributed problems in a general form are synchronous, in the sense that they wait for the responses of all the oracles before performing a new iteration. In this paper, we propose level bundle methods handling asynchronous oracles. These methods require original upper-bounds (using upper-models or scarce coordinations) to deal with asynchronicity. We prove their convergence using variational-analysis techniques and illustrate their practical performance on a Lagrangian decomposition problem.