Finite-Time Convergent Primal–Dual Gradient Dynamics With Applications to Distributed Optimization

Abstract

This article studies the finite-time (FT) convergence of a fast primal-dual gradient dynamics (PDGD), called FT-PDGD, for solving constrained optimization with general constraints and cost functions. Based on the nonsmooth analysis and augmented Lagrangian function, sufficient conditions are established for FT-PDGD to enable the realization of primal-dual optimization in FT. A specific class of nonsmooth sign-preserving functions is defined and analyzed for ensuring FT stability. Particularly, the matrix of linear equations is not required to have a full-row rank and the cost function is not necessary to be strictly convex. By introducing auxiliary variables for general linear inequality constraints, reduced sufficient conditions are further derived for the optimization with linear equality and inequality constraints after transformation. In addition, by the nonsmooth analysis, the switching dynamics evolved in both primal and dual variables are carefully investigated and the upper bound on the convergence time is explicitly provided. Moreover, as applications of FT-PDGD, several FT convergent distributed algorithms are designed to solve distributed optimization with separated and coupled linear equations, respectively. Finally, two case studies are conducted to show the performance of the proposed algorithms.