A Simple Parallel Algorithm with an $O(1/t)$ Convergence Rate for General Convex Programs (1512.08370v3)

Abstract: This paper considers convex programs with a general (possibly non-differentiable) convex objective function and Lipschitz continuous convex inequality constraint functions. A simple algorithm is developed and achieves an $O(1/t)$ convergence rate. Similar to the classical dual subgradient algorithm and the ADMM algorithm, the new algorithm has a parallel implementation when the objective and constraint functions are separable. However, the new algorithm has a faster $O(1/t)$ convergence rate compared with the best known $O(1/\sqrt{t})$ convergence rate for the dual subgradient algorithm with primal averaging. Further, it can solve convex programs with nonlinear constraints, which cannot be handled by the ADMM algorithm. The new algorithm is applied to a multipath network utility maximization problem and yields a decentralized flow control algorithm with the fast $O(1/t)$ convergence rate.