Optimal scaling of a gradient method for distributed resource allocation

L. Xiao, S. Boyd

Research output: Contribution to journalArticlepeer-review

221 Scopus citations

Abstract

We consider a class of weighted gradient methods for distributed resource allocation over a network. Each node of the network is associated with a local variable and a convex cost function; the sum of the variables (resources) across the network is fixed. Starting with a feasible allocation, each node updates its local variable in proportion to the differences between the marginal costs of itself and its neighbors. We focus on how to choose the proportional weights on the edges (scaling factors for the gradient method) to make this distributed algorithm converge and on how to make the convergence as fast as possible. We give sufficient conditions on the edge weights for the algorithm to converge monotonically to the optimal solution; these conditions have the form of a linear matrix inequality. We give some simple, explicit methods to choose the weights that satisfy these conditions. We derive a guaranteed convergence rate for the algorithm and find the weights that minimize this rate by solving a semidefinite program. Finally, we extend the main results to problems with general equality constraints and problems with block separable objective function.

Original languageEnglish
Pages (from-to)469-488
Number of pages20
JournalJournal of Optimization Theory and Applications
Volume129
Issue number3
DOIs
StatePublished - Jun 2006
Externally publishedYes

Keywords

  • Convergence rates
  • Distributed optimization
  • Resource allocations
  • Semidefinite programming
  • Weighted gradient methods

Fingerprint

Dive into the research topics of 'Optimal scaling of a gradient method for distributed resource allocation'. Together they form a unique fingerprint.

Cite this