A Distributed Continuous-time Modified Newton-Raphson Algorithm

Abstract

We propose a continuous-time second-order optimization algorithm for solving unconstrained convex optimization problems with bounded Hessian. We show that this alternative algorithm has a comparable convergence rate to that of the continuous-time Newton-Raphson method, however structurally, it is amenable to a more efficient distributed implementation. We present a distributed implementation of our proposed optimization algorithm and prove its convergence via Lyapunov analysis. A numerical example demonstrates our results.