Distributed optimisation design for solving the Stein equation with constraints

Abstract

In this study, the authors consider distributed computation of the Stein equations with set constraints, where each agent or node knows a few rows or columns of coefficient matrices. By formulating an equivalent distributed optimisation problem, they propose a projection-based algorithm to seek least-squares solutions to the constrained Stein equation over a multi-agent system network. Then, they rigorously prove the convergence of the proposed algorithm to a least-squares solution for any initial condition, and moreover, provide a simplified distributed algorithm with an exponential convergence rate for the case without constraints.