Linear convergence rate analysis of a class of exact first-order distributed methods for weight-balanced time-varying networks and uncoordinated step sizes

Abstract

AbstractWe analyze a class of exact distributed first order methods under a general setting on the underlying network and step-sizes. In more detail, we allow simultaneously for time-varying uncoordinated step sizes and time-varying directed weight-balanced networks, jointly connected over bounded intervals. The analyzed class of methods subsumes several existing algorithms like the unified Extra and unified DIGing (Jakovetić in IEEE Trans Signal Inf Process Netw 5(1):31–46, 2019), or the exact spectral gradient method (Jakovetić et al. in Comput Optim Appl 74:703–728, 2019) that have been analyzed before under more restrictive assumptions. Under the assumed setting, we establish R-linear convergence of the methods and present several implications that our results have on the literature. Most notably, we show that the unification strategy in Jakovetić (2019) and the spectral step-size selection strategy in Jakovetić et al. (2019) exhibit a high degree of robustness to uncoordinated time-varying step sizes and to time-varying networks.