Distributed and Anytime Algorithm for Network Optimization Problems with Separable Structure

Pol Mestres, Jorge Cortés

Abstract: This paper considers the problem of designing a dynamical system to solve constrained optimization problems in a distributed way and in an anytime fashion (i.e., such that the feasible set is forward invariant). For problems with separable objective function and constraints, we design an algorithm with the desired properties and establish its convergence. Simulations illustrate our results.