Distributed Online Convex Optimization with Adversarial Constraints: Reduced Cumulative Constraint Violation Bounds under Slater's Condition

TL;DR

This paper introduces a distributed online convex optimization algorithm that achieves improved bounds on cumulative constraint violations under Slater's condition, especially when loss functions are strongly convex.

Contribution

It presents the first distributed online algorithm with reduced cumulative constraint violation bounds under Slater's condition for adversarial constraints.

Findings

Achieves $ ilde{O}(T^{1-c})$ constraint violation bounds under Slater's condition.

Attains $ ilde{O}(rac{ ext{log}(T)}{ ext{T}})$ regret with strongly convex losses.

Validates theoretical bounds through numerical simulations.

Abstract

This paper considers distributed online convex optimization with adversarial constraints. In this setting, a network of agents makes decisions at each round, and then only a portion of the loss function and a coordinate block of the constraint function are privately revealed to each agent. The loss and constraint functions are convex and can vary arbitrarily across rounds. The agents collaborate to minimize network regret and cumulative constraint violation. A novel distributed online algorithm is proposed and it achieves an $\mathcal{O}(T^{\max\{c,1-c\}})$ network regret bound and an $\mathcal{O}(T^{1-c/2})$ network cumulative constraint violation bound, where $T$ is the number of rounds and $c\in(0,1)$ is a user-defined trade-off parameter. When Slater's condition holds (i.e, there is a point that strictly satisfies the inequality constraints), the network cumulative constraint violation bound is reduced to $\mathcal{O}(T^{1-c})$. Moreover, if the loss functions are strongly convex, then the network regret bound is reduced to $\mathcal{O}(\log(T))$, and the network cumulative constraint violation bound is reduced to $\mathcal{O}(\sqrt{\log(T)T})$ and $\mathcal{O}(\log(T))$ without and with Slater's condition, respectively. To the best of our knowledge, this paper is the first to achieve reduced (network) cumulative constraint violation bounds for (distributed) online convex optimization with adversarial constraints under Slater's condition. Finally, the theoretical results are verified through numerical simulations.