diff --git a/src/year2/distributed-autonomous-systems/sections/_optimization.tex b/src/year2/distributed-autonomous-systems/sections/_optimization.tex index cebeee6..4f242f5 100644 --- a/src/year2/distributed-autonomous-systems/sections/_optimization.tex +++ b/src/year2/distributed-autonomous-systems/sections/_optimization.tex @@ -731,4 +731,25 @@ % \[ % \z_i^{k+1} = \sum_{j=1}^N a_{ij} \z_j^k - (N\alpha) \frac{1}{N} \sum_{j=1}^N \nabla l_k(z_k^k) % \] -\end{description} \ No newline at end of file + + \begin{theorem}[Gradient tracking algorithm optimality] \marginnote{Gradient tracking algorithm optimality} + If: + \begin{itemize} + \item $\matr{A}$ is the adjacency matrix of an undirected and connected communication graph $G$ such that it is doubly stochastic and $a_{ij} > 0$. + \item Each cost function $l_i$ is $\mu$-strongly convex and its gradient $L$-Lipschitz continuous. + \end{itemize} + Then, there exists $\alpha^* > 0$ such that, for any choice of the step size $\alpha \in (0, \alpha^*)$, the sequence of local solutions $\{ \z_i^k \}_{k \in \mathbb{N}}$ of each agent generated by the gradient tracking algorithm asymptotically converges to a consensual optimal solution $\z^*$: + \[ \lim_{k \rightarrow \infty} \Vert \z_i^k - \z^* \Vert = 0 \] + + Moreover, the convergence rate is linear and stability is exponential: + \[ + \exists \rho \in (0,1): \Vert \z_i^k - \z^* \Vert \leq \rho \Vert \z_i^{k+1} - \z^* \Vert + \,\,\land\,\, + \rho \Vert \z_i^{k+1} - \z^* \Vert \leq \rho^k \Vert \z_i^0 - \z^* \Vert + \] + \end{theorem} +\end{description} + +\begin{remark} + It can be shown that gradient tracking also works with non-convex optimization and, under the correct assumptions, converges to a stationary point. +\end{remark} \ No newline at end of file