Distributed Stochastic Approximation Algorithm With Expanding Truncations: Algorithm and Applications

Abstract: In the paper, a novel distributed stochastic approximation algorithm (DSAA) is proposed to seek roots of the sum of local functions, each of which is associated with an agent from the multiple agents connected in a network. At any time, each agent updates its estimate for the root utilizing the observation of its local function and the information derived from the neighboring agents. The key difference of the proposed algorithm from the existing ones consists in the expanding truncations (so it is called as DSAAWET), by which the boundedness of the estimates can be guaranteed without imposing the growth rate constraints on the local functions. The convergence of the estimates generated by DSAAWET to a consensus set belonging to the root set of the sum function is shown under weaker conditions on the local functions and on the observation noise in comparison with the existing results. We illustrate our approach by two applications, one from signal processing and the other one from distributed optimization. Numerical simulation results are also included.