Linear Convergence in Optimization Over Directed Graphs With Row-Stochastic Matrices

Abstract

This paper considers a distributed optimization problem over a multi-agent network, in which the objective function is a sum of individual cost functions at the agents. We focus on the case when communication between the agents is described by a \emph{directed} graph. Existing distributed optimization algorithms for directed graphs require at least the knowledge of the neighbors' out-degree at each agent (due to the requirement of column-stochastic matrices). In contrast, our algorithm requires no such knowledge. Moreover, the proposed algorithm achieves the best known rate of convergence for this class of problems, $O(\mu^k)$ for $0<\mu<1$, where $k$ is the number of iterations, given that the objective functions are strongly-convex and have Lipschitz-continuous gradients. Numerical experiments are also provided to illustrate the theoretical findings.