Fast Tracking Admm for Distributed Optimization and Convergence Under time Varying Networks

Shreyansh Shethia, Purdue University

Abstract

Due to the increase in the advances in wireless communication, there has been an increase in the use of multi-agents systems to complete any given task. In various applications, multi-agent systems are required to solve an underlying optimization problem to obtain the best possible solution within a feasible region. Solving such multi-agent optimization problems in a distributed framework preferable over centralized frameworks as the former ensures scalability, robustness, and security. Further distributed optimization problem becomes challenging when the decision variables of the individual agents are coupled.In this thesis, a distributed optimization problem with coupled constraints is considered, where a network of agents aims to cooperatively minimize the sum of their local objective functions, subject to individual constraints. This problem setup is relevant to many practical applications like formation flying, sensor fusion, smart grids, etc. For practical scenarios, where agents can solve their local optimal solution efficiently and require fewer assumptions on objective functions, the Alternating Direction Method of Multipliers(ADMM)-based approaches are preferred over gradient-based approaches. For such a constraint coupled problem, several distributed ADMM algorithms are present that guarantee convergence to optimality but they do not discuss the complete analysis for the rate of convergence. Thus, the primary goal of this work is to improve upon the convergence rate of the existing state-ofthe-art Tracking-ADMM (TADMM) algorithm to solve the above-distributed optimization problem. Moreover, the current analysis in literature does not discuss the convergence in the case of a time-varying communication network.The first part of the thesis focuses on improving the convergence rate of the TrackingADMM algorithm to solve the above-distributed optimization problem more efficiently. To this end, an upper bound on the convergence rate of the TADMM algorithm is derived in terms of the weight matrix of the network. To achieve faster convergence, the optimal weight matrix is computed using a semi-definite programming (SDP) formulation. The improved convergence rate of this Fast-TADMM (F-TADMM) is demonstrated with a simple yet illustrative, coupled constraint optimization problem. Then, the applicability of F-TADMM is demonstrated to the problem of distributed optimal control for trajectory generation of aircraft in formation flight.In the second part of the thesis, the convergence analysis for TADMM is extended while considering a time-varying communication network. The modified algorithm is named as Time-Varying Tracking (TV-TADMM). The formal guarantees on asymptotic convergence are provided with the help of control system analysis of a dynamical system that uses Lyapunov-like theory. The convergence of this TV-TADMM is demonstrated on a simple yet illustrative, coupled constraint optimization problem with switching topology and is compared with the fixed topology setting.

Degree

M.Sc.

Advisors

Hwang, Purdue University.

Subject Area

Electrical engineering|Mathematics

COinS