Year: 2013
Type: article
Abstract: Random projection algorithm is of interest for constrained optimization when the constraint set is not known in advance or the projection operation on the whole constraint set is computationally prohibitive. This paper presents a distributed random projection algorithm for constrained convex optimization problems that can be used by multiple agents connected over a time-varying network, where each agent has its own objective function and its own constrained set. We prove that the iterates of all agents converge to the same point in the optimal set almost surely. Experiments on distributed support vector machines demonstrate good performance of the algorithm.
Authors: Soomin Lee, Angelia Nedic
Language: English
Subfield: Control and Systems Engineering
Field: Engineering
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W2092507976