Consensus-based distributed optimisation of multi-agent networks via a two level subgradient-proximal algorithm

This paper presents a consensus-based stochastic subgradient algorithm for multi-agent networks to minimise multiple convex but not necessarily differential objective functions, subject to an intersection set of multiple closed convex constraint sets. Compared with the existing results an alternative subgradient algorithm is first introduced based on two level subgradient iterations, where the first level is to minimise the component functions, and the second to enforce the iterates not oscillate from the constraint set wildly. In addition, a distributed consensus-based type of the proposed subgradient algorithm is constructed within the framework of multi-agent networks for the case when the iteration index of local objective functions and local constraint sets is not homologous. Detailed convergence analysis of the proposed algorithms is established using matrix theories and super-martingale convergence theorem. In addition, a pre-step convergence factor is obtained in this study to characterise the distance between the iterations and the optimal set, while some existing literatures only present a convergence work. Simulation results are given to demonstrate the effectiveness of the developed theoretical results.