An Arrow-Hurwicz-Uzawa type flow as least squares solver for network linear equations

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 on the graph Laplacian for the continuous-time distributed algorithm to give the least squares solution in the limit, with an exponentially fast convergence rate. The feasibility of different fundamental graphs is discussed including path graph and random graph. 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. Show more