Asynchronous gossip algorithms for stochastic optimization

S. Sundhar Ram, A. Nedić, V. V. Veeravalli

Research output: Chapter in Book/Report/Conference proceedingConference contribution

55 Scopus citations

Abstract

We consider a distributed multi-agent network system where the goal is to minimize an objective function that can be written as the sum of component functions, each of which is known partially (with stochastic errors) to a specific network agent. We propose an asynchronous algorithm that is motivated by random gossip schemes where each agent has a local Poisson clock. At each tick of its local clock, the agent averages its estimate with a randomly chosen neighbor and adjusts the average using the gradient of its local function that is computed with stochastic errors.We investigate the convergence properties of the algorithm for two different classes of functions. First, we consider differentiable, but not necessarily convex functions, and prove that the gradients converge to zero with probability 1. Then, we consider convex, but not necessarily differentiable functions, and show that the iterates converge to an optimal solution almost surely.

Original languageEnglish (US)
Title of host publicationProceedings of the 48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, CDC/CCC 2009
Pages3581-3586
Number of pages6
DOIs
StatePublished - Dec 1 2009
Externally publishedYes
Event48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, CDC/CCC 2009 - Shanghai, China
Duration: Dec 15 2009Dec 18 2009

Publication series

NameProceedings of the IEEE Conference on Decision and Control
ISSN (Print)0191-2216

Other

Other48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, CDC/CCC 2009
CountryChina
CityShanghai
Period12/15/0912/18/09

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Modeling and Simulation
  • Control and Optimization

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    Ram, S. S., Nedić, A., & Veeravalli, V. V. (2009). Asynchronous gossip algorithms for stochastic optimization. In Proceedings of the 48th IEEE Conference on Decision and Control held jointly with 2009 28th Chinese Control Conference, CDC/CCC 2009 (pp. 3581-3586). [5399485] (Proceedings of the IEEE Conference on Decision and Control). https://doi.org/10.1109/CDC.2009.5399485