Gradient-Free Multi-Agent Nonconvex Nonsmooth Optimization

Abstract: In this paper, we consider the problem of minimizing the sum of nonconvex and possibly nonsmooth functions over a connected multi-agent network, where the agents have partial knowledge about the global cost function and can only access the zeroth-order information (i.e., the functional values) of their local cost functions. We propose and analyze a distributed primal-dual gradient-free algorithm for this challenging problem. We show that by appropriately choosing the parameters, the proposed algorithm converges to the set of first order stationary solutions with a provable global sublinear convergence rate. Numerical experiments demonstrate the effectiveness of our proposed method for optimizing nonconvex and nonsmooth problems over a network.