论文标题

非convex和非滑动优化的近端ADMM

Proximal ADMM for Nonconvex and Nonsmooth Optimization

论文作者

Yang, Yu, Jia, Qing-Shan, Xu, Zhanbo, Guan, Xiaohong, Spanos, Costas J.

论文摘要

通过使节点或代理能够求解小型子问题以实现协调,分布式算法受到许多网络系统的青睐,以进行有效且可扩展的计算。尽管对于凸问题,但可以使用大量的分布式算法,但非常缺乏更广泛的非凸的结果。本文开发了针对一类非凸的分布式算法和由i)i)i)由单独的和复合物镜组成的非convex物体介绍的,涉及互连代理的决策组件,ii)ii)局部界限凸约限制,以及iii)iii)。这个问题直接起源于智能建筑物,在其他领域也很广泛。为了提供具有收敛保证的分布式算法,我们修改了乘数(ADMM)交替方向方法的强大工具,并提出了近端ADMM。具体而言,请注意,在ADMM框架内建立非convex和非滑动优化的融合的主要困难是假设双重更新的界限,我们建议以折扣的方式更新双重变量。这导致建立了所谓的足够降低和下限的Lyapunov功能,这对于建立收敛至关重要。我们证明该方法会收敛到一些近似固定点。除了通过数值示例以及对智能建筑中多区域加热,通风和空调(HVAC)控制的具体示例以及混凝土应用来展示该方法的功效和性能。

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.

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