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Decentralized hierarchical constrained convex optimization

Abstract

This paper proposes a decentralized optimization algorithm for the triple-hierarchical constrained convex optimization problem of minimizing a sum of strongly convex functions subject to a paramonotone variational inequality constraint over an intersection of fixed point sets of nonexpansive mappings. The existing algorithms for solving this problem are centralized optimization algorithms using all the information in the problem, and these algorithms are effective, but only under certain additional restrictions. The main contribution of this paper is to present a convergence analysis of the proposed algorithm in order to show that the proposed algorithm using incremental gradients with diminishing step-size sequences converges to the solution to the problem without any additional restrictions. Another contribution of this paper is the elucidation of the practical applications of hierarchical constrained optimization in the form of network resource allocation and optimal control problems. In particular, it is shown that the proposed algorithm can be applied to decentralized network resource allocation with a triple-hierarchical structure.

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Notes

  1. 1.

    (C2) and \(\lambda _n \le \alpha _n\)\((n\in {\mathbb {N}})\) imply (C1).

  2. 2.

    Since \(\epsilon > 0\) is sufficiently small, we have that \(f(X) \approx - \mathrm {Tr}(X)\)\((X \in {\mathcal {S}}^{N + N_u})\) in the sense of the norm of \({\mathbb {R}}\). Hence, we can expect that the unique solution \(X^\star \) to problem (45) is almost the same as the unique minimizer of f over \({\mathcal {C}}_g\).

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Acknowledgements

The author is sincerely grateful to the anonymous referees for helping him improve the original manuscript.

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Correspondence to Hideaki Iiduka.

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This work was supported by JSPS KAKENHI Grant Number JP18K11184.

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Iiduka, H. Decentralized hierarchical constrained convex optimization. Optim Eng 21, 181–213 (2020). https://doi.org/10.1007/s11081-019-09440-7

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Keywords

  • Decentralized optimization
  • Fixed point
  • Hierarchical constrained convex optimization
  • Incremental optimization algorithm
  • Network resource allocation
  • Nonexpansive mapping
  • Optimal control
  • Paramonotone

Mathematics Subject Classification

  • 65K05
  • 65K15
  • 90C25