Averaging algorithms and distributed optimization

author: John N. Tsitsiklis, Department of Electrical Engineering and Computer Science, Massachusetts Institute of Technology, MIT
published: Jan. 13, 2011,   recorded: December 2010,   views: 1122
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Description

In distributed averaging and consensus algorithms, processors exchange and update certain values (or "estimates", or "opinions") by forming a local average with the values of their neighbors. Under suitable conditions, such algorithms converge to consensus (every processor ends up holding the same value) or even average-consensus (consensus is achieved on the average of the initial values held by the processors). Algorithms of this type have been proposed as a subroutine of distributed optimization methods, used to combine the results of different processors while a master algorithm is running. We overview a few applications of averaging algorithms, with a focus on gradient-like optimization methods. We then proceed to highlight some results, old and new, with a focus on convergence rates. We finally discuss some open problems.

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