Distributed Optimization of Multiagent Systems Subject to Inequality Constraints

In this paper, we study a distributed convex optimization problem with inequality constraints. Each agent is associated with its cost function, and can only exchange information with its neighbors. It is assumed that each cost function is convex and the optimization variable is subject to an inequality constraint. The objective is to make all the agents reach consensus, and meanwhile converge to the minimum point of the sum of local cost functions. A distributed protocol is proposed to guarantee that all agents can reach consensus in finite time and converge to the optimal point within the inequality constraints. Based on the ideas of parameter projection, the protocol includes two decent directions. One makes the cost function decrease, and the other makes agents step forward to the constraint set. It is shown that the proposed protocol solves the problem under connected undirected graphs without using a Lagrange multiplier technique. Especially, all of the agents could reach the constraint sets in finite time and stay in there after. The method could also be used in the centralized optimization problems.