Asynchronous stochastic convex optimization over random networks: Error bounds

B. Touri, A. Nedić, S. Sundhar Ram

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

9 Scopus citations

Abstract

We consider a distributed multi-agent network system where the goal is to minimize the sum of convex functions, each of which is known (with stochastic errors) to a specific network agent. We are interested in asynchronous algorithms for solving the problem over a connected network where the communications among the agent are random. At each time, a random set of agents communicate and update their information. When updating, an agent uses the (sub)gradient of its individual objective function and its own stepsize value. The algorithm is completely asynchronous as it neither requires the coordination of agent actions nor the coordination of the stepsize values. We investigate the asymptotic error bounds of the algorithm with a constant stepsize for strongly convex and just convex functions. Our error bounds capture the effects of agent stepsize choices and the structure of the agent connectivity graph. The error bound scales at best as m in the number m of agents when the agent objective functions are strongly convex.

Original languageEnglish (US)
Title of host publication2010 Information Theory and Applications Workshop, ITA 2010 - Conference Proceedings
Pages342-351
Number of pages10
DOIs
StatePublished - 2010
Event2010 Information Theory and Applications Workshop, ITA 2010 - San Diego, CA, United States
Duration: Jan 31 2010Feb 5 2010

Publication series

Name2010 Information Theory and Applications Workshop, ITA 2010 - Conference Proceedings

Other

Other2010 Information Theory and Applications Workshop, ITA 2010
CountryUnited States
CitySan Diego, CA
Period1/31/102/5/10

Keywords

  • Algorithms
  • Asynchronous algorithms
  • Convex optimization
  • Networked system
  • Random consensus
  • Stochastic

ASJC Scopus subject areas

  • Computer Science Applications
  • Information Systems

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    Touri, B., Nedić, A., & Ram, S. S. (2010). Asynchronous stochastic convex optimization over random networks: Error bounds. In 2010 Information Theory and Applications Workshop, ITA 2010 - Conference Proceedings (pp. 342-351). [5454103] (2010 Information Theory and Applications Workshop, ITA 2010 - Conference Proceedings). https://doi.org/10.1109/ITA.2010.5454103