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Proximal ADMM for nonconvex and nonsmooth optimization

Authors: Yu Yang 0008; Qing-Shan Jia; Zhanbo Xu; Xiaohong Guan; Costas J. Spanos;

Proximal ADMM for nonconvex and nonsmooth optimization

Abstract

By enabling the nodes or agents to solve small-sized subproblems to achieve coordination, distributed algorithms are favored by many networked systems for efficient and scalable computation. While for convex problems, substantial distributed algorithms are available, the results for the more broad nonconvex counterparts are extremely lacking. This paper develops a distributed algorithm for a class of nonconvex and nonsmooth problems featured by i) a nonconvex objective formed by both separate and composite objective components regarding the decision components of interconnected agents, ii) local bounded convex constraints, and iii) coupled linear constraints. This problem is directly originated from smart buildings and is also broad in other domains. To provide a distributed algorithm with convergence guarantee, we revise the powerful tool of alternating direction method of multiplier (ADMM) and proposed a proximal ADMM. Specifically, noting that the main difficulty to establish the convergence for the nonconvex and nonsmooth optimization within the ADMM framework is to assume the boundness of dual updates, we propose to update the dual variables in a discounted manner. This leads to the establishment of a so-called sufficiently decreasing and lower bounded Lyapunov function, which is critical to establish the convergence. We prove that the method converges to some approximate stationary points. We besides showcase the efficacy and performance of the method by a numerical example and the concrete application to multi-zone heating, ventilation, and air-conditioning (HVAC) control in smart buildings.

15 pges, 3 figures

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Keywords

FOS: Computer and information sciences, Stochastic programming, Nonconvex programming, global optimization, distributed nonconvex and nonsmooth optimization, global convergence, bounded Lagrangian multipliers, Computer Science - Distributed, Parallel, and Cluster Computing, Optimization and Control (math.OC), smart buildings, FOS: Mathematics, Distributed, Parallel, and Cluster Computing (cs.DC), Mathematics - Optimization and Control, proximal ADMM

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
34
Top 10%
Top 10%
Top 10%
Green