Towards Totally Asynchronous Primal-Dual Convex Optimization in Blocks (2004.05142v2)

Abstract: We present a parallelized primal-dual algorithm for solving constrained convex optimization problems. The algorithm is "block-based," in that vectors of primal and dual variables are partitioned into blocks, each of which is updated only by a single processor. We consider four possible forms of asynchrony: in updates to primal variables, updates to dual variables, communications of primal variables, and communications of dual variables. We explicitly construct a family of counterexamples to rule out permitting asynchronous communication of dual variables, though the other forms of asynchrony are permitted, all without requiring bounds on delays. A first-order update law is developed and shown to be robust to asynchrony. We then derive convergence rates to a Lagrangian saddle point in terms of the operations agents execute, without specifying any timing or pattern with which they must be executed. These convergence rates contain a synchronous algorithm as a special case and are used to quantify an "asynchrony penalty." Numerical results illustrate these developments.