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research article

Linear convergence of primal-dual gradient methods and their performance in distributed optimization

Alghunaim, Sulaiman A.
•
Sayed, Ali H.  
July 1, 2020
Automatica

In this work, we revisit a classical incremental implementation of the primal-descent dual-ascent gradient method used for the solution of equality constrained optimization problems. We provide a short proof that establishes the linear (exponential) convergence of the algorithm for smooth strongly-convex cost functions and study its relation to the non-incremental implementation. We also study the effect of the augmented Lagrangian penalty term on the performance of distributed optimization algorithms for the minimization of aggregate cost functions over multi-agent networks. (C) 2020 Elsevier Ltd. All rights reserved.

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Type
research article
DOI
10.1016/j.automatica.2020.109003
Web of Science ID

WOS:000534593100045

Author(s)
Alghunaim, Sulaiman A.
Sayed, Ali H.  
Date Issued

2020-07-01

Publisher

PERGAMON-ELSEVIER SCIENCE LTD

Published in
Automatica
Volume

117

Article Number

109003

Subjects

Automation & Control Systems

•

Engineering, Electrical & Electronic

•

Engineering

•

primal-dual methods

•

linear convergence

•

arrow-hurwicz

•

augmented lagrangian

•

distributed optimization

•

saddle-point problems

•

convex-optimization

•

coordination

•

stability

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
ASL  
Available on Infoscience
June 4, 2020
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/169096
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