Distributed Alternating Direction Method of Multipliers for Multi-agent Optimization
Abstract:
We consider a network of agents solving a global optimization problem, where the objective function is the sum of privately known local convex objective functions. Recent literature presented subgradient based methods for distributed solution of this problem with O(1/ \sqrt{k}) rate of convergence (where k is the iteration number). In this talk, we present distributed Alternating Direction Method of Multipliers (ADMM) based methods for solving this problem over undirected and directed networks. We present convergence rate estimates that show that these methods converge at rate $O(1/k)$ and highlight the dependence of performance on network structure
Biography:
Asu Ozdaglar received the B.S. degree in electrical engineering from the Middle East Technical University, Ankara, Turkey, in 1996, and the S.M. and the Ph.D. degrees in electrical engineering and computer science from the Massachusetts Institute of Technology, Cambridge, in 1998 and 2003, respectively.
She is currently a professor in the Electrical Engineering and Computer Science Department at the Massachusetts Institute of Technology. She is also a member of the Laboratory for Information and Decision Systems and the Operations Research Center. Her research expertise includes optimization theory, with emphasis on nonlinear programming and convex analysis, game theory, with applications in communication, social, and economic networks, distributed optimization and control, and network analysis with special emphasis on contagious processes, systemic risk and dynamic control.
Professor Ozdaglar is the recipient of a Microsoft fellowship, the MIT Graduate Student Council Teaching award, the NSF Career award, the 2008 Donald P. Eckman award of the American Automatic Control Council, the Class of 1943 Career Development Chair, a 2011 Kavli Fellowship of the National Academy of Sciences, the inaugural Steven and Renee Innovation Fellowship, and the 2014 Spira teaching award. She served on the Board of Governors of the Control System Society in 2010. She has held editorial positions in several journals and is currently the area co-editor for a new area for the journal Operations Research, "Games, Information and Networks”. She is the co-author of the book entitled “Convex Analysis and Optimization” (Athena Scientific, 2003).