Decentralized Proximal Method of Multipliers for Convex Optimization with Coupled Constraints

In this paper, a decentralized proximal method of multipliers (DPMM) is proposed to solve constrained convex optimization problems over multi-agent networks, where the local objective of each agent is a general closed convex function, and the constraints are coupled equalities and inequalities. This algorithm strategically integrates the dual decomposition method and the proximal point algorithm. One advantage of DPMM is that subproblems can be solved inexactly and in parallel by agents at each iteration, which relaxes the restriction of requiring exact solutions to subproblems in many distributed constrained optimization algorithms. We show that the first-order optimality residual of the proposed algorithm decays to 0 at a rate of o(1/k) under general convexity. Furthermore, if a structural assumption for the considered optimization problem is satisfied, the sequence generated by DPMM converges linearly to an optimal solution. In numerical simulations, we compare DPMM with several existing algorithms using two examples to demonstrate its effectiveness.