Distributed Resource Allocation via Accelerated Saddle Point Dynamics
Wen-Ting Lin, Yan‐Wu Wang, Chaojie Li, Xinghuo Yu
Abstract
In this paper, accelerated saddle point dynamics is proposed for distributed resource allocation over a multi-agent network, which enables a hyper-exponential convergence rate. Specifically, an inertial fast-slow dynamical system with vanishing damping is introduced, based on which the distributed saddle point algorithm is designed. The dual variables are updated in two time scales, i.e., the fast manifold and the slow manifold. In the fast manifold, the consensus of the Lagrangian multipliers and the tracking of the constraints are pursued by the consensus protocol. In the slow manifold, the updating of the Lagrangian multipliers is accelerated by inertial terms. Hyper-exponential stability is defined to characterize a faster convergence of our proposed algorithm in comparison with conventional primal-dual algorithms for distributed resource allocation. The simulation of the application in the energy dispatch problem verifies the result, which demonstrates the fast convergence of the proposed saddle point dynamics.