Distributed Convex Optimization with Inequality Constraints over Time-varying Unbalanced Digraphs

Abstract: This paper considers a distributed convex optimization problem with inequality constraints over time-varying unbalanced digraphs, where the cost function is a sum of local objectives, and each node of the graph only knows its local objective and inequality constraints. Although there is a vast literature on distributed optimization, most of them require the graph to be balanced, which is quite restrictive and not necessary. Very recently, the unbalanced problem has been resolved only for either time-invariant graphs or unconstrained optimization. This work addresses the unbalancedness by focusing on an epigraph form of the constrained optimization. A striking feature is that this novel idea can be easily used to study time-varying unbalanced digraphs. Under local communications, a simple iterative algorithm is then designed for each node. We prove that if the graph is uniformly jointly strongly connected, each node asymptotically converges to some common optimal solution.