Almost Sure Convergence of Distributed Optimization with Imperfect Information Sharing

Abstract: To design algorithms that reduce communication cost or meet rate constraints and are robust to communication noise, we study convex distributed optimization problems where a set of agents are interested in solving a separable optimization problem collaboratively with imperfect information sharing over time-varying networks. We study the almost sure convergence of a two-time-scale decentralized gradient descent algorithm to reach the consensus on an optimizer of the objective loss function. One time scale fades out the imperfect incoming information from neighboring agents, and the second one adjusts the local loss functions' gradients. We show that under certain conditions on the connectivity of the underlying time-varying network and the time-scale sequences, the dynamics converge almost surely to an optimal point supported in the optimizer set of the loss function.