ASY-SONATA: Achieving Geometric Convergence for Distributed Asynchronous Optimization
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Can one obtain a geometrically convergent algorithm for distributed asynchronous multi-agent optimization? This paper provides a positive answer to this open question. The proposed algorithm solves multi-agent (convex and nonconvex) optimization over static digraphs and it is asynchronous, in the following sense: i) agents can update their local variables as well as communicate with their neighbors at any time, without any form of coordination; and ii) they can perform their local computations using (possibly) delayed, out-of-sync information from the other agents. Delays need not obey any specific profile, and can also be time-varying (but bounded). The algorithm builds on a tracking mechanism that is robust against asynchrony (in the above sense), whose goal is to estimate locally the average of agents' gradients. When applied to strongly convex functions, we prove that it converges at an R-linear (geometric) rate as long as the step-size is sufficiently small. A sublinear convergence rate is proved, when nonconvex problems and/or diminishing, uncoordinated step-sizes are considered. Preliminary numerical results demonstrate the efficacy of the proposed algorithm and validate our theoretical findings.
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