This paper aims to solve the robust convex optimization (RCO) problem, where the constraints of RCO are parameterized with uncertainties, and the scenario approach is applied to transform RCO into standard convex optimization with a finite number of constraints through probabilistic approximation. The transformed problem is called a scenario problem (SP). Two consensus-based distributed learning algorithms for SP are designed in consideration of a large number of sampled constraints. One is based on the distributed average consensus (DAC), and the other is based on the alternating direction method of multipliers (ADMM). It has regulated that data distributed to nodes are not allowed to communicate. Simulation results indicate that the proposed algorithms are suitable for handling large-scale data and achieve excellent performance, with the ADMM-based algorithm performing the best. Furthermore, the DAC-based algorithm has certain advantages in terms of computational time and complexity. In addition, to improve the communicative efficiency based on a DAC, an efficient distributed average consensus (EDAC) is put forward. The average time for every node when using an EDAC is less than that of a DAC, despite the exact same performance. KEYWORDS alternating direction method of multipliers, consensus computation, distributed learning, robust convex optimization 1 INTRODUCTION 1.1 Background The so-called robust optimization (RO) problem indicates that the constraints are parameterized with uncertainties. The aim of this problem is to find a robust solution, satisfying all constraints for all possible situations and optimizing the objective function with the worst case, ie, the solution is not affected by the data. This problem has attracted significant interest 1-3 and has been widely applied in many areas, such as economic management, 4-6 planning and scheduling systems, 7,8 and communication systems, 9,10 among others. 2,3,11 In fact, RO is a semi-infinite optimization problem and cannot be efficiently solved numerically. In addition, some traditional methods for solving the optimization problem are no longer applicable. Therefore, it may cause that the optimal solution becomes feasible even if infeasible under the affection of the uncertainties. 12 Robust convex optimization (RCO) is a special case of RO with a convex objective function. The primary method for solving RCO is transforming it into an equivalent deterministic tractable convex problem under some mild assumptions, 3,13,14 and thus, the transformed optimization can be solved using existing convex optimization methods introduced in the work of Boyd and Vandenberghe. 15 However, a drawback of this primary approach is that the transformed convex optimization is often not as scalable as the nominal optimization. To solve RCO, a method called a scenario approach was studied in the works of Calafiore and Campi, 16 Campi and Garatti, 17 and De Farias and Van Roy, 18 where it was shown that most of the constraints of the original optimization are satisfied if the ...