A decentralized smoothing quadratic regularization algorithm for composite consensus optimization with non-Lipschitz singularities

Distributed algorithms are receiving renewed attention across multiple disciplines due to the dramatically increasing demand of big data processing. We consider a class of consensus optimization problems over a static network system of multiple agents, where each of local cost functions is a sum of a smooth function and a non-Lipschitz regularization term. This kind of problems is widely found in scientific and engineering areas such as machine learning and data analysis. Inspired by Bian and Chen (SIAM J. Opt. 23(3), 1718–1741 2017), we propose a decentralized smoothing quadratic regularization algorithm (abbreviated as D-SQRA) for solving the composite consensus problem with non-Lipschitz singularities. To some extent, D-SQRA can be seen as an extension in the decentralized setup of the smoothing quadratic regularization algorithm (SQRA) proposed in (SIAM J. Opt. 23(3), 1718–1741 2017). Our main contribution is to show that D-SQRA can inherit the theoretical properties of its centralized counterpart, i.e., SQRA, in both sides of convergence and worst-case iteration complexity to achieve an \(\epsilon \) scaled stationary point. We also present some numerical examples on sparse sensing problems based on synthetic and real datasets to corroborate the effectiveness of the proposed decentralized algorithm.