A cutting-surface consensus approach for distributed robust optimization of multi-agent systems

Abstract: A novel and fully distributed optimization method is proposed for the distributed robust convex program (DRCP) over a time-varying unbalanced directed network under the uniformly jointly strongly connected (UJSC) assumption. Firstly, a tractable approximated DRCP (ADRCP) is introduced by discretizing the semi-infinite constraints into a finite number of inequality constraints and restricting the right-hand side of the constraints with a positive parameter. This problem is iteratively solved by a distributed projected gradient algorithm proposed in this paper, which is based on epigraphic reformulation and subgradient projected algorithms. Secondly, a cutting-surface consensus approach is proposed for locating an approximately optimal consensus solution of the DRCP with guaranteed feasibility. This approach is based on iteratively approximating the DRCP by successively reducing the restriction parameter of the right-hand constraints and populating the cutting-surfaces into the existing finite set of constraints. Thirdly, to ensure finite-time termination of the distributed optimization, a distributed termination algorithm is developed based on consensus and zeroth-order stopping conditions under UJSC graphs. Fourthly, it is proved that the cutting-surface consensus approach terminates finitely and yields a feasible and approximate optimal solution for each agent. Finally, the effectiveness of the approach is illustrated through a numerical example.