Proximal ADMM for nonconvex and nonsmooth optimization

By enabling the nodes or agents to solve small-sized subproblems to achieve coordination, distributed algorithms are favored by many networked systems for efficient and scalable computation. While for convex problems, substantial distributed algorithms are available, the results for the more broad nonconvex counterparts are extremely lacking. This paper develops a distributed algorithm for a class of nonconvex and nonsmooth problems featured by (i) a nonconvex objective formed by both separate and composite components regarding the decision variables of interconnected agents, (ii) local bounded convex constraints, and (iii) coupled linear constraints. This problem is directly originated from smart buildings and is also broad in other domains. To provide a distributed algorithm with convergence guarantee, we revise the powerful alternating direction method of multiplier (ADMM) method and proposed a proximal ADMM. Specifically, noting that the main difficulty to establish the convergence for the nonconvex and nonsmooth optimization with ADMM is to assume the boundness of dual updates, we propose to update the dual variables in a discounted manner. This leads to the establishment of a so-called sufficiently decreasing and lower bounded Lyapunov function, which is critical to establish the convergence. We prove that the method converges to some approximate stationary points. We besides showcase the efficacy and performance of the method by a numerical example and the concrete application to multi-zone heating, ventilation, and air-conditioning (HVAC) control in smart buildings.(c) 2022 Elsevier Ltd. All rights reserved.