Penalized Push-Sum Algorithm for Constrained Distributed Optimization with Application to Energy Management in Smart Grid

Abstract

We study distributed convex constrained optimization on a time-varying multi-agent network. Each agent has access to its own local cost function, its local constraints, and its instant number of out-neighbors. The collective goal is to minimize the sum of the cost functions over the set of all constraints. We utilize the push-sum protocol to be able to solve this distributed optimization problem. We adapt the push-sum optimization algorithm, which has been studied in context of unconstrained optimization so far, to convex constrained optimization by introducing an appropriate choice of penalty functions and penalty parameters. Under some additional technical assumptions on the gradients we prove convergence of the distributed penalty-based push-sum algorithm to the optimal value of the global objective function. We apply the proposed penalty-based push-sum algorithm to the problem of distributed energy management in smart grid and discuss the advantages of this novel procedure in comparison with existing ones.