Distributed Subgradient Projection Algorithm Over Directed Graphs

Abstract

We propose Directed-Distributed Projected Subgradient (D-DPS) to solve a constrained optimization problem over a multi-agent network, where the goal of agents is to collectively minimize the sum of locally known convex functions. Each agent in the network owns only its local objective function, constrained to a commonly known convex set. We focus on the circumstance when communications between agents are described by a directed network. The D-DPS combines surplus consensus to overcome the asymmetry caused by the directed communication network. The analysis shows the convergence rate to be O( ln k /√k ).