Convergence of Stochastic PDMM
Sebastian O. Jordan (Student TU Delft)
R. Heusdens (TU Delft - Electrical Engineering, Mathematics and Computer Science)
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Abstract
In this work, we analyse a stochastic version of the primaldual method of multipliers (PDMM), which is a promising algorithm in the field of distributed optimisation. So far, its convergence has been proven for synchronous implementations of the algorithm [1], [2]. Simulations have shown that PDMM also converges if it is implemented asynchronously, having the advantage that there is no need for clock synchronisation between the nodes in a distributed network. Furthermore, a broadcast implementation of asynchronous PDMM can be derived, instead of the usual unicast implementation. This broadcast implementation comes with a number of benefits...