Distributed Asynchronous Time-Varying Quadratic Programming with Asynchronous Objective Sampling

Abstract: We present a distributed algorithm to track the fixed points of time-varying quadratic programs when agents can (i) sample their objective function asynchronously, (ii) compute new iterates asynchronously, and (iii) communicate asynchronously. We show that even for a time-varying strongly convex quadratic program, asynchronous sampling of objectives can cause agents to minimize a certain form of nonconvex "aggregate" objective function. Then, we show that by minimizing the aggregate objective, agents still track the solution of the original quadratic program to within an error ball dependent upon (i) agents' tracking error when solving the aggregate problem, and (ii) the time variation of the original quadratic objective. Lastly, we show that this work generalizes existing work, in the sense that synchronizing the agents' behaviors recovers existing convergence results (up to constants). Simulations show the robustness of our algorithm to asynchrony.