Exponential Least Squares Solvers for Linear Equations over Networks

Abstract

We study the approach to obtaining least squares solutions to systems of linear algebraic equations over networks by using distributed algorithms. Each node has access to one of the linear equations and holds a dynamic state. The aim for the node states is to reach a consensus as a least squares solution of the linear equations by exchanging their states with neighbors over an underlying interaction graph. A continuous-time distributed least squares solver over networks is developed in the form of the famous Arrow-Hurwicz-Uzawa flow. A necessary and sufficient condition is established for the graph Laplacian, regarding whether the continuous-time distributed algorithm can give the least squares solution. The feasibility of different fundamental graphs is discussed including path graph, star graph, etc. Moreover, a discrete-time distributed algorithm is developed by Euler’s method, converging exponentially to the least squares solution at the node states with suitable step size and graph conditions. The convergence rate is exponential for both the continuous-time and discrete-time algorithms under the established conditions.