Distributed Optimization over Lossy Networks via Relaxed Peaceman-Rachford Splitting: a Robust ADMM Approach

Abstract

In this work we address the problem of distributed optimization of the sum of convex cost functions in the context of multi-agent systems over lossy communication networks. Building upon operator theory, first, we derive an ADMM-like algorithm that we refer to as relaxed ADMM (R-ADMM) via a generalized Peaceman-Rachford Splitting operator on the Lagrange dual formulation of the original optimization problem. This specific algorithm depends on two parameters, namely the averaging coefficient $\alpha$ and the augmented Lagrangian coefficient $\rho$. We show that by setting $\alpha=1/2$ we recover the standard ADMM algorithm as a special case of our algorithm. Moreover, by properly manipulating the proposed R-ADMM, we are able to provide two alternative ADMM-like algorithms that present easier implementation and reduced complexity in terms of memory, communication and computational requirements. Most importantly the latter of these two algorithms provides the first ADMM-like algorithm which has guaranteed convergence even in the presence of lossy communication under the same assumption of standard ADMM with lossless communication. Finally, this work is complemented with a set of compelling numerical simulations of the proposed algorithms over cycle graphs and random geometric graphs subject to i.i.d. random packet losses.