Multidimensional Newton-Raphson consensus for distributed convex optimization

In this work we consider a multidimensional distributed optimization technique that is suitable for multi-agents systems subject to limited communication connectivity. In particular, we consider a convex unconstrained additive problem, i.e. a case where the global convex unconstrained multidimensional cost function is given by the sum of local cost functions available only to the specific owning agents. We show how, by exploiting the separation of time-scales principle, the multidimensional consensus-based strategy approximates a Newton-Raphson descent algorithm. We propose two alternative optimization strategies corresponding to approximations of the main procedure. These approximations introduce tradeoffs between the required communication bandwidth and the convergence speed/accuracy of the results. We provide analytical proofs of convergence and numerical simulations supporting the intuitions developed through the paper.