Totally Asynchronous Large-Scale Quadratic Programming: Regularization, Convergence Rates, and Parameter Selection

TL;DR

This paper introduces a flexible, asynchronous multi-agent framework for large-scale quadratic programming that allows independent parameter choices, regularization, and provides convergence guarantees with trade-offs between speed and accuracy.

Contribution

It develops a novel asynchronous multi-agent approach for large-scale quadratic programming with independent parameter tuning and regularization, ensuring convergence and quantifiable error bounds.

Findings

The framework supports asynchronous updates with arbitrary delays.

Regularization accelerates convergence but introduces controlled error.

Simulation results validate the theoretical convergence and trade-offs.

Abstract

Quadratic programs arise in robotics, communications, smart grids, and many other applications. As these problems grow in size, finding solutions becomes more computationally demanding, and new algorithms are needed to efficiently solve them at massive scales. Targeting large-scale problems, we develop a multi-agent quadratic programming framework in which each agent updates only a small number of the total decision variables in a problem. Agents communicate their updated values to each other, though we do not impose any restrictions on the timing with which they do so, nor on the delays in these transmissions. Furthermore, we allow weak parametric coupling among agents, in the sense that they are free to independently choose their step sizes, subject to mild restrictions. We further provide the means for agents to independently regularize the problems they solve, thereby improving convergence properties while preserving agents' independence in selecting parameters and ensuring a global bound on regularization error is satisfied. Larger regularizations accelerate convergence but increase error in the solution obtained, and we quantify the trade off between convergence rates and quality of solutions. Simulation results are presented to illustrate these developments.