A Globally Convergent Distributed Jacobi Scheme for Block-Structured Nonconvex Constrained Optimization Problems

Motivated by the increasing availability of high-performance parallel computing, we design a distributed parallel algorithm for linearly-coupled block-structured nonconvex constrained optimization problems. Our algorithm performs Jacobi-type proximal updates of the augmented Lagrangian function, requiring only local solutions of separable block nonlinear programming (NLP) problems. We provide a cheap and explicitly computable Lyapunov function that allows … Read more