Time Complexity Analysis of a Distributed Stochastic Optimization in a Non-Stationary Environment

Abstract

In this paper, we consider a distributed stochastic optimization problem where the goal is to minimize the time average of a cost function subject to a set of constraints on the time averages of related stochastic processes called penalties. We assume that the state of the system is evolving in an independent and non-stationary fashion and the "common information" available at each node is distributed and delayed. Such stochastic optimization is an integral part of many important problems in wireless networks such as scheduling, routing, resource allocation and crowd sensing. We propose an approximate distributed Drift- Plus-Penalty (DPP) algorithm, and show that it achieves a time average cost (and penalties) that is within epsilon > 0 of the optimal cost (and constraints) with high probability. Also, we provide a condition on the convergence time t for this result to hold. In particular, for any delay D >= 0 in the common information, we use a coupling argument to prove that the proposed algorithm converges almost surely to the optimal solution. We use an application from wireless sensor network to corroborate our theoretical findings through simulation results.