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Distributed Momentum-Based Frank-Wolfe Algorithm for Stochastic Optimization
Jie Hou; Xianlin Zeng; Gang Wang; Jian Sun; Jie Chen
Source PublicationIEEE/CAA Journal of Automatica Sinica
AbstractThis paper considers distributed stochastic optimization, in which a number of agents cooperate to optimize a global objective function through local computations and information exchanges with neighbors over a network. Stochastic optimization problems are usually tackled by variants of projected stochastic gradient descent. However, projecting a point onto a feasible set is often expensive. The Frank-Wolfe (FW) method has well-documented merits in handling convex constraints, but existing stochastic FW algorithms are basically developed for centralized settings. In this context, the present work puts forth a distributed stochastic Frank-Wolfe solver, by judiciously combining Nesterov’s momentum and gradient tracking techniques for stochastic convex and nonconvex optimization over networks. It is shown that the convergence rate of the proposed algorithm is ${\cal{O}}(k^{-\frac{1}{2}})$ for convex optimization, and ${\cal{O}}(1/\mathrm{log}_2(k))$ for nonconvex optimization. The efficacy of the algorithm is demonstrated by numerical simulations against a number of competing alternatives.
KeywordDistributed optimization Frank-Wolfe (FW) algorithms momentum-based method stochastic optimization
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Cited Times:5[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Collection学术期刊_IEEE/CAA Journal of Automatica Sinica
Recommended Citation
GB/T 7714
Jie Hou,Xianlin Zeng,Gang Wang,et al. Distributed Momentum-Based Frank-Wolfe Algorithm for Stochastic Optimization[J]. IEEE/CAA Journal of Automatica Sinica,2023,10(3):685-699.
APA Jie Hou,Xianlin Zeng,Gang Wang,Jian Sun,&Jie Chen.(2023).Distributed Momentum-Based Frank-Wolfe Algorithm for Stochastic Optimization.IEEE/CAA Journal of Automatica Sinica,10(3),685-699.
MLA Jie Hou,et al."Distributed Momentum-Based Frank-Wolfe Algorithm for Stochastic Optimization".IEEE/CAA Journal of Automatica Sinica 10.3(2023):685-699.
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