TY - GEN

T1 - Asynchronous gossip algorithms for stochastic optimization

AU - Sundhar Ram, S.

AU - Nedich, Angelia

AU - Veeravalli, Venugopal Varadachari

PY - 2009/10/20

Y1 - 2009/10/20

N2 - We consider a distributed multi-agent network system where the goal is to minimize an objective function that can be written as the sum of component functions, each of which is known (with stochastic errors) to a specific network agent. We propose an asynchronous algorithm that is motivated by a random gossip scheme where each agent has a local Poisson clock. At each tick of its local clock, the agent averages its estimate with a randomly chosen neighbor and adjusts the average using the gradient of its local function that is computed with stochastic errors. We investigate the convergence properties of the algorithm for two different classes of functions: differentiable but not necessarily convex and convex but not necessarily differentiable.

AB - We consider a distributed multi-agent network system where the goal is to minimize an objective function that can be written as the sum of component functions, each of which is known (with stochastic errors) to a specific network agent. We propose an asynchronous algorithm that is motivated by a random gossip scheme where each agent has a local Poisson clock. At each tick of its local clock, the agent averages its estimate with a randomly chosen neighbor and adjusts the average using the gradient of its local function that is computed with stochastic errors. We investigate the convergence properties of the algorithm for two different classes of functions: differentiable but not necessarily convex and convex but not necessarily differentiable.

UR - http://www.scopus.com/inward/record.url?scp=70349977432&partnerID=8YFLogxK

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U2 - 10.1109/GAMENETS.2009.5137386

DO - 10.1109/GAMENETS.2009.5137386

M3 - Conference contribution

AN - SCOPUS:70349977432

SN - 9781424441778

T3 - Proceedings of the 2009 International Conference on Game Theory for Networks, GameNets '09

SP - 80

EP - 81

BT - Proceedings of the 2009 International Conference on Game Theory for Networks, GameNets '09

T2 - 2009 International Conference on Game Theory for Networks, GameNets '09

Y2 - 13 May 2009 through 15 May 2009

ER -