Distributed Constrained Stochastic Subgradient Algorithms Based on Random Projection and Asynchronous Broadcast over Networks

Abstract

We consider a distributed constrained optimization problem over a time-varying network, where each agent only knows its own cost functions and its constraint set. However, the local constraint set may not be known in advance or consists of huge number of components in some applications. To deal with such cases, we propose a distributed stochastic subgradient algorithm over time-varying networks, where the estimate of each agent projects onto its constraint set by using random projection technique and the implement of information exchange between agents by employing asynchronous broadcast communication protocol. We show that our proposed algorithm is convergent with probability 1 by choosing suitable learning rate. For constant learning rate, we obtain an error bound, which is defined as the expected distance between the estimates of agent and the optimal solution. We also establish an asymptotic upper bound between the global objective function value at the average of the estimates and the optimal value.