When solving consensus optimization problems over a graph, there is often an explicit characterization of the convergence rate of Gradient Descent (GD) using the spectrum of the graph Laplacian. The same type of problems under the Alternating Direction Method of Multipliers (ADMM) are, however, poorly understood. For instance, simple but important non-strongly-convex consensus problems have not yet being analyzed, especially concerning the dependency of the convergence rate on the graph topology. Recently, for a non-strongly-convex consensus problem, a connection between distributed ADMM and lifted Markov chains was proposed, followed by a conjecture that ADMM is faster than GD by a square root factor in its convergence time, in close analogy to the mixing speedup achieved by lifting several Markov chains. Nevertheless, a proof of such a claim is is still lacking. Here we provide a full characterization of the convergence of distributed over-relaxed ADMM for the same type of consensus problem in terms of the topology of the underlying graph. Our results provide explicit formulas for optimal parameter selection in terms of the second largest eigenvalue of the transition matrix of the graph's random walk. Another consequence of our results is a proof of the aforementioned conjecture, which interestingly, we show it is valid for any graph, even the ones whose random walks cannot be accelerated via Markov chain lifting. *
The relation between convergence rate of ADMM and the topology of underlying graph is explored using lifted Markov chain REF .
How is Distributed ADMM Affected by Network Topology?
arXiv: Machine Learning
Mathematics