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Add aggregative optimization

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Tian Cheng (Riccardo) Xia
2025-04-15 21:50:06 +02:00
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4
src/year2/distributed-autonomous-systems/das.tex
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\def\lap{{\matr{L}}}
\def\x{{\vec{x}}}
\def\z{{\vec{z}}}
\def\v{{\vec{v}}}
\def\r{{\vec{r}}}
\def\s{{\vec{s}}}
\begin{document}
@ -50,5 +53,6 @@
\include{./sections/_containment.tex}
\include{./sections/_optimization.tex}
\include{./sections/_formation_control.tex}
\include{./sections/_cooperative_robotics.tex}
\end{document}

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src/year2/distributed-autonomous-systems/sections/_cooperative_robotics.tex Normal file
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\chapter{Cooperative robotics}
\begin{description}
\item[Cooperative robotics] \marginnote{Cooperative robotics}
Problem where $N$ agents want to optimize their positions $\z_i \in \mathbb{R}^2$ to perform multi-robot surveillance in an environment with:
\begin{itemize}
\item A static target to protect $\r_0 \in \mathbb{R}^2$.
\item Static intruders/opponents $\r_i \in \mathbb{R}^2$, each assigned to an agent $i$.
\end{itemize}
The average position of the agents define the barycenter:
\[ \sigma(\z) = \frac{1}{N} \sum_{i=1}^N \z_i \]
The local cost function of agent $i$ is:
\[
l_i(\z_i, \sigma(\z)) =
\gamma_i \underbrace{\Vert \z_i - \r_i \Vert^2}_{\text{close to opponent}} +
\underbrace{\Vert \sigma(\z) - \r_0 \Vert^2}_{\text{barycenter close to protectee}}
\]
Note that the opponent component only depends on local variables while the target component needs global information.
\begin{remark}
The barycenter $\sigma(\z): \mathbb{R}^{2N} \rightarrow \mathbb{R}^{2}$ can be seen as an aggregation function.
\end{remark}
\begin{remark}
A scenario that this formulation fails to handle is when the agents are placed symmetrically and moves symmetrically as the barycenter remains the same even if the agents move farther away.
\end{remark}
\end{description}
\section{Aggregative optimization}
\begin{description}
\item[Aggregative optimization] \marginnote{Aggregative optimization}
Problem defined as:
\[
\min_{\z_1, \dots, \z_N} \sum_{i=1}^{N} l_i(\z_i, \sigma(\z))
\]
where:
\begin{itemize}
\item $\z = (\z_1, \dots, \z_N)$ with $\z_i \in \mathbb{R}^{n_i}$,
\item $l_i: \mathbb{R}^{n_i} \rightarrow \mathbb{R}^d$ is the loss function of the agent $i$,
\item $\sigma(\z)$ is an aggregation function generically defined as $\sigma(\z) = \frac{1}{N} \sum_{i=1}^{N} \phi_i(\z_i)$, for some $\phi_i: \mathbb{R}^{n_i} \rightarrow \mathbb{R}^d$
\end{itemize}
\item[Distributed aggregative optimization] \marginnote{Distributed aggregative optimization}
Distributed case of aggregative optimization where each agent has only access to the loss $l_i$, the operator of the aggregation function $\phi_i$, and the position $\z_i$ of itself and its neighbors.
\end{description}
\begin{remark}
The goal of the task is not to reach consensus among agents.
\end{remark}
\subsection{Centralized gradient method}
\begin{description}
\item[Centralized gradient method (scalar)] \marginnote{Centralized gradient method (scalar)}
Consider $N$ agents with $z_i \in \mathbb{R}$ and $\sigma: \mathbb{R}^N \rightarrow \mathbb{R}$. The update step, assuming global access to the parameters, can be performed as:
\[
z_i^{k+1} = z_i^k - \alpha \frac{\partial}{\partial z_i} \left.\left( \sum_{j=1}^{N} l_j(z_j, \sigma(z_1, \dots, z_N)) \right) \right|_{z_j=z_j^k}
\]
By expanding the derivative, we have that:
\[
\begin{split}
&\frac{\partial}{\partial z_i} \left.\left( \sum_{j=1}^{N} l_j(z_j, \sigma(z_1, \dots, z_N)) \right) \right|_{z_j=z_j^k} \\
&=
\left.\frac{\partial}{\partial z_i} l_i(z_i, \sigma) \right|_{\substack{z_i = z_i^k,\\\sigma = \sigma(\z^k)}} +
\left.\left(\sum_{j=1}^{N} \frac{\partial}{\partial \sigma} l_j(z_j, \sigma) \right)\right|_{\substack{z_j = z_j^k,\\\sigma = \sigma(\z^k)}} \cdot
\left.\frac{\partial}{\partial z_i} \sigma(z_1, \dots, z_N)\right|_{\substack{z_j=z_j^k}}
\end{split}
\]
\item[Centralized gradient method (vector)] \marginnote{Centralized gradient method (vector)}
Generalized to the vector case, the update step becomes:
\[
\z_i^{k+1} = \z_i^k - \alpha \left[ \nabla \left.\left( \sum_{j=1}^{N} l_j(\z_j, \sigma(\z_1, \dots, \z_N)) \right) \right|_{\z_j=\z_j^k} \right]_{(i)}
\]
And the gradient can be expanded as:
\[
\begin{split}
&\left[ \nabla \left.\left( \sum_{j=1}^{N} l_j(\z_j, \sigma(\z_1, \dots, \z_N)) \right) \right|_{\z_j=\z_j^k} \right]_{(i)} \\
&=
\left.\nabla_{[\z_i]} l_i(\z_i, \sigma)\right|_{\substack{\z_i=\z_i^k,\\\sigma=\sigma(\z^k)}} +
\left.\sum_{j=1}^{N} \nabla_{[\sigma]} l_j(\z_j, \sigma)\right|_{\substack{\z_j=\z_j^k\\\sigma=\sigma(\z^k)}} \cdot
\left.\frac{1}{N}\nabla \phi_i(\z_i)\right|_{\z_i=\z_i^k}
\end{split}
\]
where $\nabla_{[\z_i]} l_i(\z_i, \sigma)$ is the gradient w.r.t. the first argument and $\nabla_{[\sigma]} l_i(\z_i, \sigma)$ is w.r.t. the second one.
\end{description}
\subsection{Aggregative tracking distributed optimization algorithm}
\begin{description}
\item[Aggregative tracking distributed optimization algorithm] \marginnote{Aggregative tracking distributed optimization algorithm}
Algorithm where each agent $i$ has:
\begin{itemize}
\item An estimate $\z_i^k$ of its optimal position $\z_i^*$,
\item An estimate $\s_i^k$ of the aggregation function $\sigma(\z^k) = \frac{1}{N} \sum_{j=1}^{N} \phi_j(\z_j^k)$,
\item An estimate $\v_i^k$ of the gradient with respect to the second argument of the loss $\sum_{j=1}^{N} \nabla_{[\sigma(\z^k)]} l_j(\z_j^k, \sigma(\z^k))$.
\end{itemize}
The step is based on the centralized gradient method using the local estimates:
\[
\begin{aligned}
\z_i^{k+1} &= \z_i^k - \alpha \left( \nabla_{[\z_i]} l_i(\z_i^k, \s_i^k) + \v_i^k \nabla \phi_i(\z_i^k) \right) && \z_i^0 \in \mathbb{R}^{n_i} \\
\s_i^{k+1} &= \sum_{j \in \mathcal{N}_i} a_{ij} \s_j^k + \left( \phi_i(\z_i^{k+1}) - \phi_i(\z_i^k) \right) && \s_i^0 = \phi_i(\z_i^0) \\
\v_i^{k+1} &= \sum_{j \in \mathcal{N}_i} a_{ij} \v_j^k + \left( \nabla_{[\s_i^{k+1}]} l_i(\z_i^{k+1}, \s_i^{k+1}) - \nabla_{[\s_i^k]} l_i(\z_i^k, \s_i^k) \right) && \v_i^0 = \nabla_{[\s_i^0]} l_i(\z_i^0, \s_i^0) \\
\end{aligned}
\]
where the estimates $\s_i^k$ and $\v_i^k$ are obtained through dynamic average consensus (\Cref{sec:gradient_tracking_algorithm}).
\begin{remark}
$\v_i^k$ is a double approximation as it uses $\s_i^{k+1}$ and $\s_i^k$ instead of the real $\sigma$.
\end{remark}
\begin{theorem}[Aggregative tracking distributed optimization algorithm convergence]
If:
\begin{itemize}
\item The communication digraph $G$ is strongly connected and aperiodic, and $\matr{A}$ is doubly stochastic,
\item $\sum_{i=1}^{N} l_i(\cdot, \sigma(\cdot))$ strongly convex with $\phi_i(\cdot)$ differentiable and Lipschitz continuous.
\item $\nabla_{[\z]} l_i(\cdot, \cdot)$, $\nabla_{[\sigma]} l_i(\cdot, \cdot)$, and $\nabla \phi_i(\cdot) \nabla_{[\sigma]} l_i(\cdot, \cdot)$ are Lipschitz continuous.
\end{itemize}
Then, there exists an $\alpha^*$ such that, for any step size $\alpha \in (0, \alpha^*)$, the sequences of local estimates $\{ \z_i^k, \dots, \z_N^k \}_{k \in \mathbb{N}}$ generated using the aggregative tracking distributed optimization algorithm converge to the optimal solution at a linear rate:
\[
\lim_{k \rightarrow \infty} \Vert \z_i^k - \z_i^* \Vert = 0
\]
\end{theorem}
% \begin{remark}
% LTI:
% \[
% \begin{aligned}
% \z_i^{k+1} = \z_i^k - \alpha() \\
% \begin{aligned}
% s_i^{k+1} &= \sum_{j=1}^{N} a_i s_j^k + ... \\
% v_i^{k+1} &=
% \end{aligned}
% \end{aligned}
% \]
% Upper part is a ``slow'' system
% Lower part is a ``fast'' system
% \end{remark}
\end{description}
\subsection{Online aggregative optimization}
\begin{description}
\item[Online aggregative optimization] \marginnote{Online aggregative optimization}
Time-varying case of aggregative optimization where intruders also move. The problem can be defined as:
\[
\min_{\z=(\z_1, \dots, \z_N)} \sum_{i=1}^{N} l_i^k(\z_i, \sigma^k(\z)) \quad\text{subject to $\z_i \in Z_i^k$}
\]
where $Z_i^k$ is a closed convex set.
\begin{remark}
As intruders are dynamic, the optimum of each agent $\z_i^{k,*}$ changes over time.
\end{remark}
\item[Projected aggregative tracking] \marginnote{Projected aggregative tracking}
Algorithm for online aggregative optimization defined as:
\[
\begin{aligned}
\tilde{\z}_i^k &= P_{Z_i^k} \left[ \z_i^k - \alpha \big( \nabla_{[\z_i^k]} l_i^k(\z_i^k, \s_i^k) + \v_i^k \nabla\phi_i^k(\z_i^k) \big) \right] \\
\z_i^{k+1} &= \z_i^k + \delta(\tilde{\z}_i^k - \z_i^k) && \z_i^0 \in \mathbb{R}^{n_i} \\
\s_i^{k+1} &= \sum_{j \in \mathcal{N}_i} a_{ij} \s_j^k + \left( \phi^{k+1}_i(\z_i^{k+1}) - \phi^{k}_i(\z_i^k) \right) && \s_i^0 = \phi_i(\z_i^0) \\
\v_i^{k+1} &= \sum_{j \in \mathcal{N}_i} a_{ij} \v_j^k + \left( \nabla_{[\s_i^{k+1}]} l_i^{k+1}(\z_i^{k+1}, \s_i^{k+1}) - \nabla_{[\s_i^k]} l_i^k(\z_i^k, \s_i^k) \right) && \v_i^0 = \nabla_{[\s_i^0]} l_i(\z_i^0, \s_i^0) \\
\end{aligned}
\]
where $P_{Z_i^k}$ is the Euclidean projection and $\delta \in (0, 1)$ is a hyperparameter.
\end{description}

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src/year2/distributed-autonomous-systems/sections/_optimization.tex
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\end{theorem}
\subsection{Gradient tracking algorithm}
\subsection{Gradient tracking algorithm} \label{sec:gradient_tracking_algorithm}
\begin{description}
\item[Dynamic average consensus] \marginnote{Dynamic average consensus}