A Dual Inexact Nonsmooth Newton Method for Distributed Optimization

Abstract

In this paper, we propose a novel dual inexact nonsmooth Newton (DINN) method for solving a distributed optimization problem, which aims to minimize a sum of cost functions located among agents by communicating only with their neighboring agents over a network. Our method is based on the Lagrange dual of an appropriately formulated primal problem created by introducing local variables for each agent and enforcing a consensus constraint among these variables. Due to the decomposed structure of the dual problem, the DINN method guarantees a superlinear (or even quadratic) convergence rate for both the primal and dual iteration sequences, achieving the same convergence rate as its centralized counterpart. Furthermore, by exploiting the special structure of the dual generalized Hessian, we design a distributed iterative method based on Nesterov's acceleration technique to approximate the dual Newton direction with suitable precision. Moreover, in contrast to existing second-order methods, the DINN method relaxes the requirement for the objective function to be twice continuously differentiable by using the linear Newton approximation of its gradient. This expands the potential applications of distributed Newton methods. Numerical experiments demonstrate that the DINN method outperforms the current state-of-the-art distributed optimization methods.