AN AUGMENTED LAGRANGIAN BASED ALGORITHM FOR DISTRIBUTED NONCONVEX OPTIMIZATION

doi:10.1137/140975991

	AN AUGMENTED LAGRANGIAN BASED ALGORITHM FOR DISTRIBUTED NONCONVEX OPTIMIZATION
	Houska, Boris1 ; Frasch, Janick 2; Diehl, Moritz 3,4
	2016
发表期刊	SIAM JOURNAL ON OPTIMIZATION (IF:2.6[JCR-2023],3.2[5-Year])
ISSN	1052-6234
卷号	26 期号:2 页码:1101-1127
发表状态	已发表
DOI	10.1137/140975991
摘要	This paper is about distributed derivative-based algorithms for solving optimization problems with a separable (potentially nonconvex) objective function and coupled affine constraints. A parallelizable method is proposed that combines ideas from the fields of sequential quadratic programming and augmented Lagrangian algorithms. The method negotiates shared dual variables that may be interpreted as prices, a concept employed in dual decomposition methods and the alternating direction method of multipliers (ADMM). Here, each agent solves its own small-scale nonlinear programming problem and communicates with other agents by solving coupled quadratic programming problems. These coupled quadratic programming problems have equality constraints for which parallelizable methods are available. The use of techniques associated with standard sequential quadratic programming methods gives a method with superlinear or quadratic convergence rate under suitable conditions. This is in contrast to existing decomposition methods, such as ADMM, which have a linear convergence rate. It is shown how the proposed algorithm may be extended using globalization techniques that guarantee convergence to a local minimizer from any initial starting point.
关键词	nonconvex optimization large-scale problems distributed algorithms
收录类别	SCI ; EI
语种	英语
资助项目	H-ITN-AWESCO[642682]
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000386453800010
出版者	SIAM PUBLICATIONS
EI入藏号	20162802573157
EI主题词	Algorithms ; Constrained optimization ; Lagrange multipliers ; Laplace transforms ; Nonlinear programming ; Parallel algorithms ; Problem solving ; Quadratic programming
EI分类号	Mathematical Transformations:921.3 ; Optimization Techniques:921.5 ; Systems Science:961
WOS关键词	PRIMAL DUAL DECOMPOSITION ; MODEL-PREDICTIVE CONTROL ; ACTIVE-SET STRATEGY ; CONSTRAINED OPTIMIZATION ; SYSTEM OPTIMIZATION ; CONVEX-OPTIMIZATION ; PENALTY-FUNCTION ; SQP ALGORITHM ; CONVERGENCE ; MULTIPLIERS
原始文献类型	Article
引用统计	正在获取...
文献类型	期刊论文
条目标识符	https://kms.shanghaitech.edu.cn/handle/2MSLDSTB/1996
专题	信息科学与技术学院_PI研究组_Boris Houska组
通讯作者	Houska, Boris
作者单位	1.ShanghaiTech Univ, Sch Informat Sci & Technol, 319 Yueyang Rd, Shanghai 200031, Peoples R China 2.Univ Magdeburg, Fac Math, Univ Pl 2, D-39106 Magdeburg, Germany 3.Univ Freiburg, Dept Microsyst Engn IMTEK, Georges Koehler Allee 102, D-79110 Freiburg, Germany 4.Univ Freiburg, Dept Math, Georges Koehler Allee 102, D-79110 Freiburg, Germany
第一作者单位	信息科学与技术学院
通讯作者单位	信息科学与技术学院
第一作者的第一单位	信息科学与技术学院
推荐引用方式 GB/T 7714	Houska, Boris,Frasch, Janick,Diehl, Moritz. AN AUGMENTED LAGRANGIAN BASED ALGORITHM FOR DISTRIBUTED NONCONVEX OPTIMIZATION[J]. SIAM JOURNAL ON OPTIMIZATION,2016,26(2):1101-1127.
APA	Houska, Boris,Frasch, Janick,&Diehl, Moritz.(2016).AN AUGMENTED LAGRANGIAN BASED ALGORITHM FOR DISTRIBUTED NONCONVEX OPTIMIZATION.SIAM JOURNAL ON OPTIMIZATION,26(2),1101-1127.
MLA	Houska, Boris,et al."AN AUGMENTED LAGRANGIAN BASED ALGORITHM FOR DISTRIBUTED NONCONVEX OPTIMIZATION".SIAM JOURNAL ON OPTIMIZATION 26.2(2016):1101-1127.