Distributed Newton's Method for Network Cost Minimization

Abstract

In this article, we examine a novel generic network cost minimization problem, in which every node has a local decision vector to optimize. Each node incurs a cost associated with its decision vector, while each link incurs a cost related to the decision vectors of its two end nodes. All nodes collaborate to minimize the overall network cost. The formulated network cost minimization problem has broad applications in distributed signal processing and control, in which the notion of link costs often arises. To solve this problem in a decentralized manner, we develop a distributed variant of Newton's method, which possesses faster convergence than alternative first-order optimization methods such as gradient descent and alternating direction method of multipliers. The proposed method is based on an appropriate splitting of the Hessian matrix and an approximation of its inverse, which is used to determine the Newton step. Global linear convergence of the proposed algorithm is established under several standard technical assumptions on the local cost functions. Furthermore, analogous to classical centralized Newton's method, a quadratic convergence phase of the algorithm over a certain time interval is identified. Finally, numerical simulations are conducted to validate the effectiveness of the proposed algorithm and its superiority over other first-order methods, especially when the cost functions are ill-conditioned. Complexity issues of the proposed distributed Newton's method and alternative first-order methods are also discussed.