Distributed ADMM with linear updates over directed networks

Abstract: We propose a distributed version of the Alternating Direction Method of Multipliers (ADMM) with linear updates for directed networks. We show that if the objective function of the minimization problem is smooth and strongly convex, our distributed ADMM algorithm achieves a geometric rate of convergence to the optimal point. Our algorithm exploits the robustness inherent to ADMM by not enforcing accurate consensus, thereby significantly improving the convergence rate. We illustrate this by numerical examples, where we compare the performance of our algorithm with that of state-of-the-art ADMM methods over directed graphs.