Conference Proceedings

Online Distributed Optimization via Dual Averaging

Saghar Hosseini, Airlie Chapman, Mehran Mesbahi

2013 IEEE 52ND ANNUAL CONFERENCE ON DECISION AND CONTROL (CDC) | IEEE | Published : 2013

Abstract

This paper presents a regret analysis on a distributed online optimization problem computed over a network of agents. The goal is to distributively optimize a global objective function which can be decomposed into the summation of convex cost functions associated with each agent. Since the agents face uncertainties in the environment, their cost functions change at each time step. We extend a distributed algorithm based on dual subgradient averaging to the online setting. The proposed algorithm yields an upper bound on regret as a function of the underlying network topology, specifically its connectivity. The regret of an algorithm is the difference between the cost of the sequence of decisi..

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University of Melbourne Researchers