Decentralized Primal-Dual Proximal Operator Algorithm for Constrained Nonsmooth Composite Optimization Problems over Networks.

Abstract

In this paper, we focus on the nonsmooth composite optimization problems over networks, which consist of a smooth term and a nonsmooth term. Both equality constraints and box constraints for the decision variables are also considered. Based on the multi-agent networks, the objective problems are split into a series of agents on which the problems can be solved in a decentralized manner. By establishing the Lagrange function of the problems, the first-order optimal condition is obtained in the primal-dual domain. Then, we propose a decentralized algorithm with the proximal operators. The proposed algorithm has uncoordinated stepsizes with respect to agents or edges, where no global parameters are involved. By constructing the compact form of the algorithm with operators, we complete the convergence analysis with the fixed-point theory. With the constrained quadratic programming problem, simulations verify the effectiveness of the proposed algorithm.