论文标题

基于线性化的近端线性化分散化方法,用于具有非线性约束的非convex问题

A Proximal Linearization-based Decentralized Method for Nonconvex Problems with Nonlinear Constraints

论文作者

Yang, Yu, Hu, Guoqiang, Spanos, Costas J.

论文摘要

现在,许多新兴应用程序(例如,智能电网,智能建筑等)要求对非凸问题进行分散的优化。尽管在凸问题中已经取得了巨大的进步,但非凸病例的结果,尤其是非线性约束,仍然在很大程度上尚未探索。这主要是由于非线性和非跨性别性所面临的挑战,这使得建立收敛条件感到困惑。本文研究了针对以下特征的一类结构化的非凸问题的分散优化的优化:(i)非convex全局客观函数(可能是非滑动)和(ii)耦合的非线性约束以及局部有限的凸约限制W.R.T.代理商。对于此类问题,提出了一种分散的方法,称为基于线性化的分散方法(PLDM)。与通常需要在每种迭代时需要精确(本地)优点的传统(增强)基于拉格朗日的方法不同,该建议的方法利用了基于线性的近端线性化技术来迭代更新决策变量,这使得它在计算上有效且可行,可用于非线性案例。在某些标准条件下,根据Kurdyka-lojasiewicz属性研究了PLDM全局收敛和局部收敛速率,该属性具有大多数分析功能。最后,该方法的性能和功效通过数值示例以及用于多区域加热,通风和空调(HVAC)控制的应用。

Decentralized optimization for non-convex problems are now demanding by many emerging applications (e.g., smart grids, smart building, etc.). Though dramatic progress has been achieved in convex problems, the results for non-convex cases, especially with non-linear constraints, are still largely unexplored. This is mainly due to the challenges imposed by the non-linearity and non-convexity, which makes establishing the convergence conditions bewildered. This paper investigates decentralized optimization for a class of structured non-convex problems characterized by: (i) nonconvex global objective function (possibly nonsmooth) and (ii) coupled nonlinear constraints and local bounded convex constraints w.r.t. the agents. For such problems, a decentralized approach called Proximal Linearizationbased Decentralized Method (PLDM) is proposed. Different from the traditional (augmented) Lagrangian-based methods which usually require the exact (local) optima at each iteration, the proposed method leverages a proximal linearization-based technique to update the decision variables iteratively, which makes it computationally efficient and viable for the non-linear cases. Under some standard conditions, the PLDM global convergence and local convergence rate to the epsilon-critical points are studied based on the Kurdyka-Lojasiewicz property which holds for most analytical functions. Finally, the performance and efficacy of the method are illustrated through a numerical example and an application to multi-zone heating, ventilation and air-conditioning (HVAC) control.

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